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Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy - MaRDI portal

Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (Q2334406)

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English
Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
scientific article

    Statements

    title
    Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (English)
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    author
    Winston S. Buckley
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    Sandun Perera
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    publication date
    7 November 2019
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    zbMATH Keywords
    Carr-Geman-Madan-Yor (CGMY) markets
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    mispricing models under asymmetric information
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    optimal portfolio
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    instantaneous centralized moments of returns (ICMR)
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    cites work

    Identifiers

    zbMATH DE Number
    7127637
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    OpenAlex ID
    W2890032496
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    Wikidata QID
    Q129211797
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