A tractable model for indices approximating the growth optimal portfolio

DOI10.1515/snde-2012-0054zbMath1283.91198OpenAlexW3124595384MaRDI QIDQ5404067

Katja Ignatieva, Jan Baldeaux, Eckhard Platen

Publication date: 21 March 2014

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/36416

zbMATH Keywords

kernel estimationconstant elasticity of variance modeldiffusion coefficient functiongrowth optimal portfolioderivative hedging

Mathematics Subject Classification ID

Density estimation (62G07) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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Uses Software

• KernSmooth

Cites Work

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