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  • Search: subject:"Diffusive processes"
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Subject
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Anlageverhalten 1 Arbitrage-free markets 1 Behavioural finance 1 CAPM 1 Capital income 1 Credit risk 1 Default risk 1 Diffusive processes 1 Financial investment 1 Financial market 1 Finanzmarkt 1 Fokker–Planck equation 1 Investment opportunity set 1 Investment-horizon effects 1 Jump-diffusive processes 1 Jump-type processes 1 Kapitalanlage 1 Kapitaleinkommen 1 Kreditrisiko 1 Lévy-stable distribution 1 Portfolio selection 1 Portfolio-Management 1 Random processes 1 Risikoprämie 1 Risk premia 1 Risk premium 1 Strategic asset allocation 1 Systemic risk 1 Systemrisiko 1 Theorie 1 Theory 1
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Undetermined 2
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Article 2
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Aufsatz im Buch 1 Book section 1
Language
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English 1 Undetermined 1
Author
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Garbaczewski, Piotr 1 Kȩdzierski, Dariusz 1 Sbuelz, Alessandro 1 Stephanovich, Vladimir 1
Published in...
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Handbook of recent advances in commodity and financial modeling : quantitative methods in banking, finance, insurance, energy and commodity markets 1 Physica A: Statistical Mechanics and its Applications 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Did you mean: subject:"diffusion processes" (249 results)
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Dynamic asset allocation with default and systemic risks
Sbuelz, Alessandro - In: Handbook of recent advances in commodity and financial …, (pp. 241-250). 2018
Persistent link: https://www.econbiz.de/10011898643
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Heavy-tailed targets and (ab)normal asymptotics in diffusive motion
Garbaczewski, Piotr; Stephanovich, Vladimir; … - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 6, pp. 990-1008
We show that, under suitable confinement conditions, the ordinary Fokker–Planck equation may generate non-Gaussian heavy-tailed probability density functions (pdfs) (like, for example, Cauchy or more general Lévy stable distributions) in its long-time asymptotics. In fact, all heavy-tailed...
Persistent link: https://www.econbiz.de/10011060651
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