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  • Search: subject:"Multidimensional Geometric Brownian Motion"
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Year of publication
Subject
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Capital income 1 Kapitaleinkommen 1 Mean-Variance 1 Multidimensional Geometric Brownian Motion 1 Portfolio 1 Portfolio selection 1 Portfolio-Management 1 Sharpe Ratio 1 Speculation 1 Spekulation 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 boundary hitting 1 multidimensional geometric brownian motion 1
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Online availability
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Free 2
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Feghhi Kashani, Mohamamd 1 Guillaume, Tristan 1 Mohebimajd, Ahmadreza 1
Institution
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HAL 1
Published in...
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Iranian journal of economic studies : IJES 1 Post-Print / HAL 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Dynamic portfolio speculation via an informationally more structured ITO process
Feghhi Kashani, Mohamamd; Mohebimajd, Ahmadreza - In: Iranian journal of economic studies : IJES 10 (2021) 2, pp. 315-337
Persistent link: https://www.econbiz.de/10013364165
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Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering
Guillaume, Tristan - HAL - 2011
This paper provides new explicit results for some boundary crossing distributions in a multi-dimensional geometric Brownian motion framework when the boundary is a piecewise constant function of time. Among their various possible applications, they enable accurate and efficient analytical...
Persistent link: https://www.econbiz.de/10010898747
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