Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
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Publication:322955
DOI10.1016/j.ejor.2016.01.050zbMath1348.91282OpenAlexW2253650278MaRDI QIDQ322955
Winston S. Buckley, Mario Marshall, Hongwei Long
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.01.050
Related Items
m-Double Poisson Lévy markets, Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
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