Matches in SemOpenAlex for { <https://semopenalex.org/work/W2322893194> ?p ?o ?g. }
Showing items 1 to 79 of
79
with 100 items per page.
- W2322893194 abstract "Let ${xi_k, k=1,2, ldots}$ be a strictly stationary sequenceof centered $d$-dimensional random vectors satisfyingthe strong mixing condition.Using ${xi_k}$, we consider a stochastic difference equationwith a random volatility composed by $d$ stocksand a random trend and show a convergence theorem.In the one-dimensional case,the solution of this difference equation converges almost surelyto a Black-Scholes type model.The purpose of this paper is to extend the results to multi-dimensional cases.Using the result, we obtain an approximations of $d$ stocks prices modelswith random volatilities. We also give examples of optimal portfolios for the models." @default.
- W2322893194 created "2016-06-24" @default.
- W2322893194 creator A5025306191 @default.
- W2322893194 creator A5082948096 @default.
- W2322893194 creator A5087091575 @default.
- W2322893194 creator A5090609969 @default.
- W2322893194 date "2015-11-01" @default.
- W2322893194 modified "2023-09-24" @default.
- W2322893194 title "Optimal portfolios based on weakly dependent data" @default.
- W2322893194 cites W1877497270 @default.
- W2322893194 cites W1980337107 @default.
- W2322893194 cites W2086891822 @default.
- W2322893194 cites W613141800 @default.
- W2322893194 doi "https://doi.org/10.3934/proc.2015.1041" @default.
- W2322893194 hasPublicationYear "2015" @default.
- W2322893194 type Work @default.
- W2322893194 sameAs 2322893194 @default.
- W2322893194 citedByCount "0" @default.
- W2322893194 crossrefType "proceedings-article" @default.
- W2322893194 hasAuthorship W2322893194A5025306191 @default.
- W2322893194 hasAuthorship W2322893194A5082948096 @default.
- W2322893194 hasAuthorship W2322893194A5087091575 @default.
- W2322893194 hasAuthorship W2322893194A5090609969 @default.
- W2322893194 hasBestOaLocation W23228931941 @default.
- W2322893194 hasConcept C121332964 @default.
- W2322893194 hasConcept C138777275 @default.
- W2322893194 hasConcept C149782125 @default.
- W2322893194 hasConcept C162324750 @default.
- W2322893194 hasConcept C2777303404 @default.
- W2322893194 hasConcept C2778112365 @default.
- W2322893194 hasConcept C28826006 @default.
- W2322893194 hasConcept C33923547 @default.
- W2322893194 hasConcept C50522688 @default.
- W2322893194 hasConcept C54355233 @default.
- W2322893194 hasConcept C62520636 @default.
- W2322893194 hasConcept C85393063 @default.
- W2322893194 hasConcept C86803240 @default.
- W2322893194 hasConcept C91602232 @default.
- W2322893194 hasConceptScore W2322893194C121332964 @default.
- W2322893194 hasConceptScore W2322893194C138777275 @default.
- W2322893194 hasConceptScore W2322893194C149782125 @default.
- W2322893194 hasConceptScore W2322893194C162324750 @default.
- W2322893194 hasConceptScore W2322893194C2777303404 @default.
- W2322893194 hasConceptScore W2322893194C2778112365 @default.
- W2322893194 hasConceptScore W2322893194C28826006 @default.
- W2322893194 hasConceptScore W2322893194C33923547 @default.
- W2322893194 hasConceptScore W2322893194C50522688 @default.
- W2322893194 hasConceptScore W2322893194C54355233 @default.
- W2322893194 hasConceptScore W2322893194C62520636 @default.
- W2322893194 hasConceptScore W2322893194C85393063 @default.
- W2322893194 hasConceptScore W2322893194C86803240 @default.
- W2322893194 hasConceptScore W2322893194C91602232 @default.
- W2322893194 hasLocation W23228931941 @default.
- W2322893194 hasOpenAccess W2322893194 @default.
- W2322893194 hasPrimaryLocation W23228931941 @default.
- W2322893194 hasRelatedWork W2003754053 @default.
- W2322893194 hasRelatedWork W2005708118 @default.
- W2322893194 hasRelatedWork W2167356901 @default.
- W2322893194 hasRelatedWork W2288682541 @default.
- W2322893194 hasRelatedWork W2605897088 @default.
- W2322893194 hasRelatedWork W2953394107 @default.
- W2322893194 hasRelatedWork W2966060788 @default.
- W2322893194 hasRelatedWork W2994452031 @default.
- W2322893194 hasRelatedWork W3010549297 @default.
- W2322893194 hasRelatedWork W3046434585 @default.
- W2322893194 hasRelatedWork W3082747892 @default.
- W2322893194 hasRelatedWork W3095834004 @default.
- W2322893194 hasRelatedWork W3098429621 @default.
- W2322893194 hasRelatedWork W3122232446 @default.
- W2322893194 hasRelatedWork W3123455017 @default.
- W2322893194 hasRelatedWork W3123630643 @default.
- W2322893194 hasRelatedWork W3124248668 @default.
- W2322893194 hasRelatedWork W3124920486 @default.
- W2322893194 hasRelatedWork W3126031640 @default.
- W2322893194 hasRelatedWork W3183480188 @default.
- W2322893194 isParatext "false" @default.
- W2322893194 isRetracted "false" @default.
- W2322893194 magId "2322893194" @default.
- W2322893194 workType "article" @default.