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Generalized Stochastic Processes: The Portfolio Model

DOI: 10.4236/jmf.2012.22022, PP. 199-201

Keywords: Stochastic Process, Investment, Portfolio

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Abstract:

Using the portfolio model, we introduce a general stochastic process that is not necessarily a diffusion/jump process and the random variable is not necessarily normally distributed.

References

[1]  D. Madan and E. Seneta, “The Variance-Gamma (V-G) Model for Share Market Returns,” Journal of Business, Vol. 63, No. 4, 1990, pp. 511-524. doi:10.1086/296519
[2]  F. Focardi and F. Fabozzi, “The Mathematics of Financial Modeling and Investment Management,” Wiley E-Series, 2004.
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[4]  M. Alghalith, “An Alter-native Method of Stochastic Optimization: The Portfolio Model,” Applied Mathematics, Vol. 2, No. 7, 2011, pp. 912-913. doi:10.4236/am.2011.27123

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