An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models

Author:

Cawston S.,Vostrikova L.

Publisher

Springer International Publishing

Reference21 articles.

1. Carr, P., Geman, H., Madan, D., Yor, M.: The fine structure of asset returns: an empirical investigation. J. Bus. 2, 61–73 (2002)

2. Cawston, S., Vostrikova, L.: Lévy preservation and associated properties for f-minimal equivalent martingale measures. In: Shiryaev, A., Presman, E., Yor, M. (eds.) Prokhorov and Contemporary Probability Theory. Springer, Berlin (2012)

3. Choulli, T., Stricker, C.: Minimal entropy-Hellinger martingale measure in incomplete markets. Math. Finance 15, 465–490 (2005)

4. Choulli, T., Stricker, C., Li, J.: Minimal Hellinger martingale measures of order q. Finance Stoch. 11, 399–427 (2007)

5. Eberlein, E.: Application of generalizes hyperbolic Lévy motions to finance. In: Lévy Processes: Theory and Applications. Birkhauser, Basel (2001)

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