Portfolio analysis in jump-diffusion model with power-law tails

Paweł Kliber

Abstract

n/a
Author Paweł Kliber (WIiGE / KE)
Paweł Kliber,,
- Department of Econometrics
Pages58-69
Publication size in sheets0.55
Book Rotschedl Jiri, Cermakova Klara (eds.): Proceedings of the 26th and the 27th International Academic Conference, 2016, International Institute of Social and Economic Sciences (IISES) and the University of Economics in Prague, ISBN 978-80-87927-29-8, 179 p.
Keywords in English portfolio analysis, jump-diffusion models, power-law, risk of extremes, Fast Fourier Transform
URL https://www.iises.net/proceedings/27th-international-academic-conference-prague/table-of-content/detail?article=portfolio-analysis-in-jump-diffusion-model-with-power-law-tails
Languageen angielski
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