On the Method of Optimal Portfolio Choice by Cost-Efficiency

DOI10.1080/1350486X.2016.1204238zbMath1396.91702OpenAlexW2188703050MaRDI QIDQ4682703

Viktor Wolf, Ludger Rüschendorf

Publication date: 19 September 2018

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2016.1204238

zbMATH Keywords

optimal portfolioLévy modelscost-efficiencyEsscher transformcost-efficient strategiesempirical pricing

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

Related Items (2)

Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ Cost-efficiency in multivariate Lévy models

Cites Work

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