| dc.date.accessioned | 2013-11-21T11:55:57Z | |
| dc.date.available | 2013-11-21T11:55:57Z | |
| dc.date.issued | 2009 | en_US |
| dc.date.submitted | 2009-11-30 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10629 | |
| dc.description.abstract | Our aim in this paper is to find a market portfolio and equivalent martingale measure (EMM) that minimizes risk as defined in [1], but in the jump diffusion market. We use optimal control methods for the determination of explicit solutions for our controls. | eng |
| dc.language.iso | nob | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2004). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | On risk minimizing portfolios and martingale measures in Lévy markets | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2013-11-15 | en_US |
| dc.rights.holder | Copyright 2004 The Author(s) | |
| dc.creator.author | Mataramvura, Sure | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23682 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97476 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10629/1/pm34-04.pdf | |