Capital Asset Pricing for Markets with Intensity Based Jumps
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References listed on IDEAS
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Citations
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Cited by:
- Platen, Eckhard, 2006. "Portfolio selection and asset pricing under a benchmark approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 23-29.
- Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney.
- Truc Le & Eckhard Platen, 2006.
"Approximating the Growth Optimal Portfolio with a Diversified World Stock Index,"
Research Paper Series
180, Quantitative Finance Research Centre, University of Technology, Sydney.
- Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
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More about this item
Keywords
benchmark model; jump diffusions; growth optimal portfolio; market portfolio; effiient frontier; Sharpe ratio; fair pricing; actuarial pricing;JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2005-02-27 (All new papers)
- NEP-CFN-2005-02-27 (Corporate Finance)
- NEP-FIN-2005-02-27 (Finance)
- NEP-FMK-2005-02-27 (Financial Markets)
- NEP-RMG-2005-02-27 (Risk Management)
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