Guo Zijun. Portfolio Generating Functions with Price Drivingby Brown Motions and Poisson Point-Processes[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(1): 1-8.
Citation: Guo Zijun. Portfolio Generating Functions with Price Drivingby Brown Motions and Poisson Point-Processes[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(1): 1-8.
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Portfolio Generating Functions with Price Drivingby Brown Motions and Poisson Point-Processes

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  • The models of price driving by Brown motions and Poisson point-processes are studied. Using the method of stochastic analysis, the relation between the portfolio generated by portfolio generating function and the market asset portfolio is concluded.
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