Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes
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Cited by:
- João Guerra & Manuel Guerra & Zachary Polaski, 2019. "Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market," Working Papers REM 2019/74, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Marco Piccirilli & Tiziano Vargiolu, 2018. "Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes," Papers 1807.01979, arXiv.org.
- Agostino Capponi & Stefano Pagliarani & Tiziano Vargiolu, 2014. "Pricing vulnerable claims in a Lévy-driven model," Finance and Stochastics, Springer, vol. 18(4), pages 755-789, October.
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