Optimal portfolios when stock prices follow an exponential Lévy process
Year of publication: |
2004
|
---|---|
Authors: | Emmer, Susanne ; Klüppelberg, Claudia |
Published in: |
Finance and Stochastics. - Springer. - Vol. 8.2004, 1, p. 17-44
|
Publisher: |
Springer |
Subject: | Capital-at-risk | downside risk measure | exponential Lévy process | portfolio optimization | stochastic exponential | Value-at-Risk | weak limit law for Lévy processes |
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