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Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
Benth, Fred Espen
;
Nunno, Giulia Di
;
Løkka, Arne
; …
- In:
Mathematical Finance
13
(
2003
)
1
,
pp. 55-72
Persistent link: https://www.econbiz.de/10005294278
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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Benth, Fred Espen
;
Karlsen, Kenneth Hvistendahl
; …
- In:
Mathematical Finance
13
(
2003
)
2
,
pp. 215-244
Persistent link: https://www.econbiz.de/10005139673
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