A benchmark approach to finance

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dc.contributor.author Platen, Eckhard en_US
dc.date.accessioned 2009-12-21T02:28:06Z
dc.date.available 2009-12-21T02:28:06Z
dc.date.issued 2006 en_US
dc.identifier 2006003909 en_US
dc.identifier.citation Platen Eckhard 2006, 'A benchmark approach to finance', Blackwell Publishing, vol. 16, no. 1, pp. 131-151. en_US
dc.identifier.issn 0960-1627 en_US
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 en_US
dc.publisher Blackwell Publishing en_US
dc.relation.isbasedon http://dx.doi.org/10.1111/j.1467-9965.2006.00265.x en_US
dc.title A benchmark approach to finance en_US
dc.parent Mathematical Finance en_US
dc.journal.volume 16 en_US
dc.journal.number 1 en_US
dc.publocation Oxford, UK en_US
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.for 010205 en_US
dc.personcode 970685 en_US
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords benchmark model; market portfolio; growth optimal portfolio; efficient frontier; capital asset pricing model; fair pricing; stochastic volatility; minimal market model en_US
dc.staffid 970685 en_US

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