Miller, Shane; Platen, Eckhard - Finance Discipline Group, Business School - 2008
measure using the stylised minimal market model (SMMM). This model provides realistic dynamics for the growth optimal … portfolio (GOP) as a well-diversified equity index. It captures both leptokurtic returns with correct tail properties and the …-worldprobabilitymeasureusingthestylisedminimal
market model (SMMM). This model provides realistic dynamics for the
growth optimal portfolio (GOP) as a well …