Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
Year of publication: |
2019
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Authors: | Buckley, Winston ; Perera, Sandun |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 15.2019, 3, p. 337-368
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Subject: | Carr–Geman–Madan–Yor (CGMY)markets | Mispricing models under asymmetric information | Optimal portfolio | Instantaneous centralized moments of returns (ICMR) | Portfolio-Management | Portfolio selection | Theorie | Theory | Asymmetrische Information | Asymmetric information | Kapitaleinkommen | Capital income | CAPM |
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