Discrete-time implementation of continuous-time portfolio strategies
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- Beate Breuer & Nicole Branger & Christian Schlag, 2006. "Discrete-Time Implementation of Continuous-Time Portfolio Strategies," Computing in Economics and Finance 2006 393, Society for Computational Economics.
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- Branger, Nicole & Hansis, Alexandra, 2012. "Asset allocation: How much does model choice matter?," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1865-1882.
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Keywordsasset allocation; discrete trading; use of derivatives;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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