growth optimal portfolio, diversification theorem, diversified portfolios, market portfolio, equi-weighted index, almost exact simulation, minimal market model
exact scenario simulation, multi-dimensional stochastic differential equations, multi-dimensional Ornstein-Uhlenbeck process, multi-dimensional square root process, multi-dimensional squared Bessel process, Wishart process, multi-dimensional Levy process
diversified world stock index, Student-t distribution, time-varying copula, Value-at-Risk, expected shortfall
stochastic differential equations, Zakai equation, quasi-exact approximation, hidden Markov chain filtering
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