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Fontana, Claudio's
Scholarly Papers
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Total Downloads
279 |
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1.
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Fontana, Claudio INRIA Paris - Rocquencourt Schweizer, Martin Swiss Federal Institute of Technology Zurich - Department of Mathematics
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18 Jan 12
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Last Revised:
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13 Jun 12
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215
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mean-variance, portfolio choice, hedging, indifference valuation, Markowitz problem, two-fund separation, no approximate profits, minimum variance, Sharpe ratio
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Fontana, Claudio INRIA Paris - Rocquencourt Montes, Juan Miguel Ludwig Maximilians University Munich, Institute of Mathematics
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22 Dec 12
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19 May 13
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64
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default risk, affine processes, stochastic volatility, market price of risk, change of measure, jump-to-default
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