Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process
Year of publication: |
2000
|
---|---|
Authors: | Yan, Jia-an ; Zhang, Qiang ; Zhang, Shuguang |
Published in: |
Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 1.2000, 1, 6, p. 101-116
|
Publisher: |
China Economics and Management Academy |
Subject: | Jump-diffusion | Levy process | Martingale measure | Numeraire portfolio | Growth optimal portfolio | Relative entropy |
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