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An $f$-divergence approach for optimal portfolios in exponential Levy models
f-divergence exponential Levy models optimal portfolio
2011/1/21
We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to f-divergence minimal martingale measures and based on a...
A Functional Approach to FBSDEs and Its Application in Optimal Portfolios
FBSDEs Optimal Portfolios
2010/11/23
In Liang et al (2009), the current authors demonstrated that BSDEs can be reformulated as functional differential equations, and as an application, they solved BSDEs on general filtered probability s...