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~subject:"Backward stochastic Riccati equation"
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Backward stochastic Riccati equation
Constant elasticity of variance model
7
Option pricing theory
7
Optionspreistheorie
7
Portfolio selection
6
Portfolio-Management
6
Stochastic process
5
Stochastischer Prozess
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Analysis of variance
4
Varianzanalyse
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constant elasticity of variance model
4
Derivat
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Derivative
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Option pricing
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Constant Elasticity of Variance Model
2
Efficient frontier
2
Hedging
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Legendre transform
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Mean-variance portfolio selection
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Noncentral Chi-square distribution
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Risikoprämie
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Risk premium
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Theorie
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derivative hedging
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diffusion coefficient function
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growth optimal portfolio
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kernel estimation
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7901 05-05-14; 7835/0206
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Analysis
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Black-Scholes equation
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CAPM
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Comparison theorem
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Constant Elasticity of Variance model
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Country risk
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Shen, Yang
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Siu, Tak Kuen
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Vásquez, Óscar C.
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Operations research letters
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On the complexity of the single machine scheduling problem minimizing total weighted delay penalty
Vásquez, Óscar C.
- In:
Operations research letters
42
(
2014
)
5
,
pp. 343-347
Persistent link: https://www.econbiz.de/10010404393
Saved in:
2
Mean-variance portfolio selection under a
constant
elasticity
of
variance
model
Shen, Yang
;
Zhang, Xin
;
Siu, Tak Kuen
- In:
Operations research letters
42
(
2014
)
5
,
pp. 337-342
Persistent link: https://www.econbiz.de/10010404397
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