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zbMath1156.60051MaRDI QIDQ3511643

Eckhard Platen

Publication date: 11 July 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Sharpe ratio efficient frontier jump diffusions actuarial pricing growth optimal portfolio market portfolio fair pricing benchmark model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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