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Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Quantum Portfolios Observables Neutral Valuation Model
2010/10/19
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral...
Accounting for risk of non linear portfolios: a novel Fourier approach
Accounting non linear portfolios a novel Fourier approach
2010/10/18
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors....
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Entropy Information Theory I-Divergence Asset Distribution Option Pricing Volatility Smile
2010/10/29
We obtain the Maximum Entropy distribution for an asset from call and digital option prices. A
rigorous mathematical proof of its existence and exponential form is given, which can also be applied to...