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  • Search: subject:"multivariate renewal theory"
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Subject
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Multivariate renewal theory 1 Portfolio selection 1 Portfolio-Management 1 Random horizon 1 Sharpe ratio 1 Theorie 1 Theory 1 multivariate regular variation Tauberian theorem 1 multivariate renewal theory 1 power series 1
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Undetermined 2
Type of publication
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Article 2
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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Fuh, C. D. 1 Luo, S. F. 1 Omey, E. 1 Willekens, E. 1
Published in...
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Journal of Multivariate Analysis 1 Quantitative finance 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Buy-and-hold mean-variance portfolios with a random exit strategy
Fuh, C. D.; Luo, S. F. - In: Quantitative finance 18 (2018) 8, pp. 1365-1377
Persistent link: https://www.econbiz.de/10011911545
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Abelian and Tauberian theorems for the Laplace transform of functions in several variables
Omey, E.; Willekens, E. - In: Journal of Multivariate Analysis 30 (1989) 2, pp. 292-306
functions in several variables. We generalize some power series results of Alpar and apply our results in multivariate renewal … theory. …
Persistent link: https://www.econbiz.de/10005221405
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