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Instantaneous portfolio theory

Madan, DB

Madan, DB (reprint author), Univ Maryland, Robert H Smith Sch Business, College Pk, MD 20742 USA.

QUANTITATIVE FINANCE, 2018; 18 (8): 1345

Abstract

Instantaneous risk is described by the arrival rate of jumps in log price relatives. As a consequence there is then no concept of a mean return compen......

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