Explicit representation of the minimal variance portfolio in markets driven by Lévy processes

Fred Espen Benth ...

Year of publication:	2003
Authors:	Benth, Fred Espen ; Di Nunno, Giulia ; Løkka, Arne ; Øksendal, Bernt K. ; Proske, Frank
Published in:	Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 13.2003, 1, p. 55-72
Subject:	Portfolio-Management \| Portfolio selection \| Unvollkommener Markt \| Incomplete market \| Stochastischer Prozess \| Stochastic process \| Chaostheorie \| Chaos theory \| Theorie \| Theory

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