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~subject:"Growth optimal portfolio"
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Growth optimal portfolio
benchmark approach
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growth optimal portfolio
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Platen, Eckhard
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Heath, David
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Rendek, Renata
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Finance Discipline Group, Business School
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International journal of theoretical and applied finance
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Physica A: Statistical Mechanics and its Applications
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ECONIS (ZBW)
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1
Approximating the growth optimal portfolio and stock price bubbles
Platen, Eckhard
;
Rendek, Renata
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-33
Persistent link: https://www.econbiz.de/10012496905
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2
Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic
Fergusson, Kevin
;
Platen, Eckhard
-
Finance Discipline Group, Business School
-
2015
guarantees using longdated derivatives. This paper extends the
benchmark
approach
to price and hedge long-dated equity index …
Persistent link: https://www.econbiz.de/10011267814
Saved in:
3
Less expensive pricing and hedging of long-dated equity index options when interest rates are stochastic
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344299
Saved in:
4
Portfolio selection and asset pricing under a
benchmark
approach
Platen, Eckhard
- In:
Physica A: Statistical Mechanics and its Applications
370
(
2006
)
1
,
pp. 23-29
derivative pricing under the
benchmark
approach
. The growth optimal portfolio is shown to be a central object in a market model …
Persistent link: https://www.econbiz.de/10010590311
Saved in:
5
Local volatility function models under a
benchmark
approach
Heath, David
;
Platen, Eckhard
- In:
Quantitative Finance
6
(
2006
)
3
,
pp. 197-206
-factor local volatility function models for stock indices under a
benchmark
approach
. It is assumed that the dynamics for a large …
Persistent link: https://www.econbiz.de/10005495761
Saved in:
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