A benchmark approach to finance

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dc.contributor.author Platen, E
dc.date.accessioned 2009-12-21T02:28:06Z
dc.date.issued 2006-01
dc.identifier.citation Mathematical Finance, 2006, 16 (1), pp. 131 - 151
dc.identifier.issn 0960-1627
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/3452
dc.description.abstract This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling, and risk measurement. It is based on the natural assumption that investors prefer more rather than less, in the sense that given two portfolios wit
dc.publisher Blackwell Publishing
dc.relation.isbasedon 10.1111/j.1467-9965.2006.00265.x
dc.title A benchmark approach to finance
dc.type Journal Article
dc.parent Mathematical Finance
dc.journal.volume 1
dc.journal.volume 16
dc.journal.number 1 en_US
dc.publocation Oxford, UK en_US
dc.publocation Norway
dc.identifier.startpage 131 en_US
dc.identifier.endpage 151 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.conference Norwegian Computer Human Interaction
dc.for 010205 Financial Mathematics
dc.personcode 970685
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.date.activity 2006-10-14
dc.location.activity Oslo, Norway
dc.description.keywords benchmark model
dc.description.keywords benchmark model
dc.description.keywords market portfolio
dc.description.keywords market portfolio
dc.description.keywords growth optimal portfolio
dc.description.keywords growth optimal portfolio
dc.description.keywords efficient frontier
dc.description.keywords efficient frontier
dc.description.keywords capital asset pricing model
dc.description.keywords capital asset pricing model
dc.description.keywords fair pricing
dc.description.keywords fair pricing
dc.description.keywords stochastic volatility
dc.description.keywords stochastic volatility
dc.description.keywords minimal market model
dc.description.keywords minimal market model
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
pubs.consider-herdc true
utslib.collection.history Closed (ID: 3)
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history School of Mathematical Sciences (ID: 340)


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