A tractable model for indices approximating the growth optimal portfolio
Year of publication: |
2014
|
---|---|
Authors: | Baldeaux, Jan ; Ignatieva, Ekaterina ; Platen, Eckhard |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 18.2014, 1, p. 1-21
|
Subject: | growth optimal portfolio | constant elasticity of variance model | kernel estimation | diffusion coefficient function | derivative hedging | 7901 05-05-14; 7835/0206 | Portfolio-Management | Portfolio selection | Hedging | Derivat | Derivative | Schätztheorie | Estimation theory |
Extent: | graph. Darst. |
---|---|
Type of publication: | Article |
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Other identifiers: | 10.1515/snde-2012-0054 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
A Tractable Model for Indices Approximating the Growth Optimal Portfolio
Baldeaux, Jan, (2012)
-
A note on the self-financing condition for funding, collateral and discounting
Brigo, Damiano, (2015)
-
Essays on asset allocation with derivatives and model estimation
Breuer, Beate, (2009)
- More ...
-
A hybrid model for pricing and hedging of long dated bonds
Baldeaux, Jan, (2013)
-
A hybrid model for pricing and hedging of long-dated bonds
Baldeaux, Jan, (2015)
-
A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan, (2012)
- More ...