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Optimal portfolios for exponential Lévy processes · Study

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ArticleOptimal portfolios for exponential Lévy processes

Jan Kallsen2000

Article2000

Optimal portfolios for exponential Lévy processes

138 citations·0/0 files stored·Mathematical Methods of Operations Research

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

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References

1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1979Martingales and arbitrage in multiperiod securities markets 1981Martingales and stochastic integrals in the theory of continuous trading 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1997Processes of normal inverse Gaussian type 1979Calcul Stochastique et Problèmes de Martingales

Cited by

2006Esscher transforms and the minimal entropy martingale measure for exponential Lévy models 2009Portfolio choice with jumps: A closed-form solution 2002Optimal Investment in Incomplete Financial Markets 2006A Didactic Note on Affine Stochastic Volatility Models 2015Portfolio Choice in Markets with Contagion 2009Portfolio choice with jumps: a closed-form solution

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Details

Year2000

Typearticle

Published2000-08-17

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations138

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s001860000048

openalex_workW2059698282

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2004Pricing derivatives of American and game type in incomplete markets

2006Spectral calibration of exponential Lévy models