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Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
La prime de risque dans un cadre international : le risque de change est-il apprécié ?
ICAPM Integration Currency Risk
2010/11/1
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results suppor...