Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
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DOI: 10.1111/1467-9965.t01-1-00005
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Cited by:
- Takuji Arai & Yuto Imai, 2017. "A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus," Papers 1702.07556, arXiv.org, revised Nov 2017.
- Ekaterina L. Dyachenko, 2016. "Internal Migration of Scientists in Russia and the USA: The Case of Applied Physics," HSE Working papers WP BRP 58/STI/2016, National Research University Higher School of Economics.
- Kristoffer Lindensjo, 2016. "An explicit formula for optimal portfolios in complete Wiener driven markets: a functional It\^o calculus approach," Papers 1610.05018, arXiv.org, revised Dec 2017.
- Choe, Hi Jun & Lee, Ji Min & Lee, Jung-Kyung, 2018. "Malliavin calculus for subordinated Lévy process," Chaos, Solitons & Fractals, Elsevier, vol. 116(C), pages 392-401.
- Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
- Last, Günter & Penrose, Mathew D., 2011. "Martingale representation for Poisson processes with applications to minimal variance hedging," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1588-1606, July.
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