The power of derivatives in portfolio optimization under affine GARCH models (Q6581911)
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scientific article; zbMATH DE number 7890795
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The power of derivatives in portfolio optimization under affine GARCH models |
scientific article; zbMATH DE number 7890795 |
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The power of derivatives in portfolio optimization under affine GARCH models (English)
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1 August 2024
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GARCH models
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expected utility theory
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incomplete markets
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portfolio analysis
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power option
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