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A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio

A New Hedge Fund Replication Method with the Dynamic Optimal Portfolio
Paper文書・図像類
Takahashi, Akihiko, Yamamoto, Kyo日本経済国際共同センター2010-03Discussion paper series. CIRJE-FCIRJE-F-726
Other Libraries in Japan
  • Subject Heading...nd Replication Dynamic Portfolio Optimization Martingale Method Malliavin C...

Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : an Application to Hedge Fund Replication

Generating a Target Payoff Distribution with the Cheapest Dynamic Portfolio : an Application to Hedge Fund Replication
Paper文書・図像類
Takahashi, Akihiko, Kyo, Yamamoto日本経済国際共同センター2009-06Discussion paper series. CIRJE-FCIRJE-F-624
Other Libraries in Japan
  • Subject Heading...set Management Dynamic Portfolio Optimization Malliavin Calculus Martingale...

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