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Title
Distributional Approximation of Asset Returns with Nonparametric Markovian Trees
Author
Gaetano Iaquinta, Sergio Ortobelli Lozza
Vol. 6 No. 11 pp. 69-74
Keywords
Computational complexity, Markov chain, return distribution, financial applications.
Portfolio Selection and Risk Management with Markov Chains
Arturo Leccadito, Sergio Ortobelli Lozza, Emilio Russo
Vol. 7 No. 6 pp. 115-123
Markov chain, Portfolio theory, VaR and CVaR models
A Comparison among Portfolio Selection Strategies with Subordinated L?vy Processes
Alessandro Staino, Sergio Ortobelli, Ivar Massab?
Vol. 7 No. 7 pp. 224-233
Portfolio theory, L?vy processes, Variance-Gamma distribution, Normal Inverse Gaussian distribution