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Affine processes
1
Behavioural optimal portfolio choice
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CAPM
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Choquet integral
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Continuous-time equilibrium
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Continuous-time financial markets
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Information-based asset pricing
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Lévy process
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Herzberg, Frederik
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Mainberger, Christoph
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Annals of Finance
Physica A: Statistical Mechanics and its Applications
33
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Quantitative Finance
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1
Continuous equilibrium in affine and information-based capital asset pricing models
Horst, Ulrich
;
Kupper, Michael
;
Macrina, Andrea
; …
- In:
Annals of Finance
9
(
2013
)
4
,
pp. 725-755
We consider a class of generalized capital asset pricing models in
continuous
time
with a finite number of agents and …
Persistent link: https://www.econbiz.de/10010866522
Saved in:
2
First steps towards an equilibrium theory for Lévy financial markets
Herzberg, Frederik
- In:
Annals of Finance
9
(
2013
)
3
,
pp. 543-572
For a
continuous-time
financial market with a single agent, we establish equilibrium pricing formulae under the …
Persistent link: https://www.econbiz.de/10010866549
Saved in:
3
Optimal portfolio choice for a behavioural investor in
continuous-time
markets
Rásonyi, Miklós
;
Rodrigues, Andrea
- In:
Annals of Finance
9
(
2013
)
2
,
pp. 291-318
preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a
continuous-time
…
Persistent link: https://www.econbiz.de/10010989116
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