Discrete-time implementation of continuous-time portfolio strategies
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/13518470903075854
Reference15 articles.
1. Myopic Loss Aversion and the Equity Premium Puzzle
2. Optimal portfolios when volatility can jump
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4. Optimal Portfolio Rebalancing with Transaction Costs
5. Transform Analysis and Asset Pricing for Affine Jump-diffusions
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