Sökning: "non-Gaussian Ornstein-Uhlenbeck process"
Hittade 1 avhandling innehållade orden non-Gaussian Ornstein-Uhlenbeck process.
1. Portfolio Optimization and Statistics in Stochastic Volatility Markets
Sammanfattning : Large financial portfolios often contain hundreds of stocks. The aim of this thesis is to find explicit optimal trading strategies that can be applied to portfolios of that size for different n-stock extensions of the model by Barndorff-Nielsen and Shephard [3]. LÄS MER
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