15 Broadway, Ultimo
PO Box 123
Sydney, NSW 2007
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
University of Technology, Sydney
growth optimal portfolio, time dependent constant elasticity of variance model, nonparametric kernel
growth optimal portfolio, constant elasticity of variance model, kernel estimation, diffusion coeffcient function, derivative hedging
Long dated bond pricing, stochastic interest rate, growth optimal portfolio, nonparametric kernel
money market bubbles; strict local martingales; Markov chain Monte Carlo; stochastic volatility models; benchmark approach
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