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A Large Deviation Approach To Portfolio Management

Author

Listed:
  • L. GARDIOL

    (Swiss Banking Institute University of Zurich, 14 Plattenstrasse 8032 Zurich, Switzerland)

  • R. GIBSON

    (Swiss Banking Institute University of Zurich, 14 Plattenstrasse 8032 Zurich, Switzerland)

  • P.-A. BARES

    (Institut de Physique Théorique, École Polytechnique Fédérale de Lausanne, CH-1015 Lausanne, Switzerland)

  • R. CONT

    (Institut de Physique Théorique, École Polytechnique Fédérale de Lausanne, CH-1015 Lausanne, Switzerland)

  • S. GYGER

    (Institut de Physique Théorique, École Polytechnique Fédérale de Lausanne, CH-1015 Lausanne, Switzerland)

Abstract

No abstract received.

Suggested Citation

  • L. Gardiol & R. Gibson & P.-A. Bares & R. Cont & S. Gyger, 2000. "A Large Deviation Approach To Portfolio Management," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 547-547.
    • Handle: RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s021902490000053x
    DOI: 10.1142/S021902490000053X
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    Cited by:

    1. Huyen Pham, 2007. "Some applications and methods of large deviations in finance and insurance," Papers math/0702473, arXiv.org, revised Feb 2007.

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