DOI QR코드

DOI QR Code

MULTI-TYPE FINANCIAL ASSET MODELS FOR PORTFOLIO CONSTRUCTION

  • Oh, Jae-Pill (DEPARTMENT OF MATHEMATICS, KANGWEON NATIONAL UNIVERSITY)
  • 투고 : 2010.07.07
  • 심사 : 2010.09.04
  • 발행 : 2010.12.25

초록

We define some asset models which are useful for portfolio construction in various terms of time. Our asset models are geometric jump-diffusions defined by the solutions of stochastic differential equations which are decomposed by various terms of time basically. We also can study pricing and hedging strategy of options in our models roughly.

키워드

참고문헌

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피인용 문헌

  1. OPTIMAL PORTFOLIO FOR MULTI-TYPE ASSET MODELS USING FILTERED VARIOUS INFORMATION vol.15, pp.4, 2010, https://doi.org/10.12941/jksiam.2011.15.4.277
  2. FINANCIAL MODELS INDUCED FROM AUXILIARY INDICES AND TWITTER DATA vol.22, pp.3, 2010, https://doi.org/10.11568/kjm.2014.22.3.529