Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus (Q2974855)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus |
scientific article |
Statements
Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus (English)
0 references
11 April 2017
0 references
portfolio separation
0 references
mutual fund theorem
0 references
elliptical distributions
0 references
(Lévy-Pareto) \(\alpha\)-stable
0 references
Lévy processes
0 references
stochastic dominance
0 references
portfolio constraints
0 references
incomplete markets
0 references
risk management
0 references
