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Optimal portfolios based on weakly dependent data
1. | Colledge of Science and Technology, Nihon University, Narashino-dai, Funabashi 274-8501 |
2. | Center for Medical Education and Sciences, Yamanashi University, Shimogato, Chuo 409-3898, Japan |
3. | Department of Mathematics, Tokyo City University, 1-28-1 Tamazutsumi, Setagaya-ku, Tokyo 158-8557 |
4. | Department of Mathematics, Yokohama National University, Hodogaya, Yokohama 240-8501, Japan |
References:
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J. Komlòs, P. Major and G. Tusnàdy, An approximation of partial sums of independent RV's and the sample DF.I,, Z. Wahrsch. Verw. Gebiete., 32 (1975), 111.
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R. Korn and E. Korn, "Option pricing and portfolio optimization'',, American Mathematical Society, (2001).
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W. Liu and Z. Lin, Strong approximation for a class of stationary processes, Stoch. Proc. Appl., 119 (2009), 249.
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[4] |
H. Takahashi, S. Kanagawa and K. Yoshihara, Asymptotic behavior of solutions of some difference equations defined by weakly dependent random vectors., Stoch. Anal. Appl., 33 (2015), 740. Google Scholar |
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K. Yoshihara, Asymptotic behavior of solutions of Black-Scholes type equations based on weakly dependent random variables,, Yokohama Math. J., 58 (2012), 1.
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show all references
References:
[1] |
J. Komlòs, P. Major and G. Tusnàdy, An approximation of partial sums of independent RV's and the sample DF.I,, Z. Wahrsch. Verw. Gebiete., 32 (1975), 111.
|
[2] |
R. Korn and E. Korn, "Option pricing and portfolio optimization'',, American Mathematical Society, (2001).
|
[3] |
W. Liu and Z. Lin, Strong approximation for a class of stationary processes, Stoch. Proc. Appl., 119 (2009), 249.
|
[4] |
H. Takahashi, S. Kanagawa and K. Yoshihara, Asymptotic behavior of solutions of some difference equations defined by weakly dependent random vectors., Stoch. Anal. Appl., 33 (2015), 740. Google Scholar |
[5] |
K. Yoshihara, Asymptotic behavior of solutions of Black-Scholes type equations based on weakly dependent random variables,, Yokohama Math. J., 58 (2012), 1.
|
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