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Optimal portfolios when stock prices follow an exponential L�vy process · Study

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ArticleOptimal portfolios when stock prices follow an exponential L�vy process

Susanne Emmer2004

Article2004

Optimal portfolios when stock prices follow an exponential L�vy process

Susanne Emmer · Claudia Klüppelberg

68 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Risk and Portfolio Optimization Probability and Risk Models

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References

1987Extreme Values, Regular Variation and Point Processes 1998The Variance Gamma Process and Option Pricing 1997Processes of normal inverse Gaussian type 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling 1995Hyperbolic Distributions in Finance 2001Lévy processes : theory and applications 2001Approximations of small jumps of Lévy processes with a view towards simulation 2000Lévy Processes in Finance: Theory, Numerics, and Empirical Facts

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2012Portfolio Selection: A Review 2009Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model 2007Integrated insurance risk models with exponential Lévy investment 2017Robust Consumption and Portfolio Policies When Asset Prices Can Jump 2009Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims 2006MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET

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2003THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITYarticle · 7 shared references 2000Non-Gaussian OU based models and some of their uses in financial economicspreprint · 6 shared references 2005Exotic options under Lévy models: An overviewarticle · 6 shared references 2011Financial Economics, Fat-Tailed Distributionsother · 6 shared references 2008Time Change, Volatility, and Turbulencechapter · 6 shared references 2004Valuing Bermudan options when asset returns are Lévy processesarticle · 6 shared references

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Year2004

Typearticle

Published2004-01-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations68

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-003-0105-4

openalex_workW2004486733

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2017Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments

2004A geometric approach to portfolio optimization in models with transaction costs