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~subject:"Portfolio selection"
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Search: subject:"Jump diffusion model"
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Portfolio selection
Optionspreistheorie
47
Option pricing theory
46
Stochastic process
45
Stochastischer Prozess
45
Volatility
33
Volatilität
33
jump-diffusion model
26
Jump-diffusion model
19
Theorie
17
Theory
17
CAPM
13
Jump diffusion model
13
Option trading
13
Optionsgeschäft
13
Portfolio-Management
12
jump diffusion model
12
Börsenkurs
11
Share price
11
Capital income
10
Kapitaleinkommen
10
Statistische Verteilung
10
Statistical distribution
9
Black-Scholes model
7
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7
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Markov-Kette
7
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7
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12
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Endres, Sylvia
2
Hulley, Hardy
2
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2
Platen, Eckhard
2
Stübinger, Johannes
2
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1
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1
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1
Dubey, Rameshwar
1
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1
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1
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1
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1
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1
Li, Danping
1
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ECONIS (ZBW)
12
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1
"Performance and effects of linear feedback stock trading strategies"
Baumann, Michael
-
2018
Persistent link: https://www.econbiz.de/10012153001
Saved in:
2
Portfolio allocation in a Levy-type
jump-diffusion
model
with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
Saved in:
3
Pairs trading with a mean-reverting
jump-diffusion
model
on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
-
2017
This paper develops a pairs trading framework based on a mean-reverting
jump-diffusion
model
and applies it to minute …
Persistent link: https://www.econbiz.de/10011640333
Saved in:
4
Option valuation with liquidity risk and jumps
Zhang, Hai
;
Ku, Hyejin
- In:
Applied economics letters
25
(
2018
)
6
,
pp. 381-387
Persistent link: https://www.econbiz.de/10011854549
Saved in:
5
Pairs trading with a mean-reverting
jump-diffusion
model
on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
Saved in:
6
A theoretical model of jump diffusion-mean reversion : constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor
Chakrabarty, Anindya
;
Luo, Zongwei
;
Dubey, Rameshwar
; …
- In:
Business process management journal
23
(
2017
)
3
,
pp. 537-554
Persistent link: https://www.econbiz.de/10011744467
Saved in:
7
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Zeng, Yan
;
Li, Danping
;
Gu, Ailing
- In:
Insurance / Mathematics & economics
66
(
2016
),
pp. 138-152
Persistent link: https://www.econbiz.de/10011442729
Saved in:
8
A functional Itô's calculus approach to convex risk measures with jump diffusion
Siu, Tak Kuen
- In:
European journal of operational research : EJOR
250
(
2016
)
3
,
pp. 874-883
Persistent link: https://www.econbiz.de/10011445346
Saved in:
9
Optimal selling of an asset with jumps under incomplete information
Lu, Bing
- In:
Applied mathematical finance
20
(
2013
)
5/6
,
pp. 599-610
Persistent link: https://www.econbiz.de/10010235555
Saved in:
10
Robust portfolio choice with uncertainty about jump and diffusion risk
Branger, Nicole
;
Larsen, Linda Sandris
- In:
Journal of banking & finance
37
(
2013
)
12
,
pp. 5036-5047
Persistent link: https://www.econbiz.de/10010342132
Saved in:
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