NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
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Publication:5455262
DOI10.1111/j.1467-9965.2006.00282.xzbMath1133.91431OpenAlexW2044417422MaRDI QIDQ5455262
Publication date: 3 April 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00282.x
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Mean–variance portfolio selection based on a generalized BNS stochastic volatility model ⋮ Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes ⋮ Utility maximization in models with conditionally independent increments ⋮ Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients ⋮ The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity ⋮ On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps ⋮ Portfolio optimization and a factor model in a stochastic volatility market
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