| 题名 | A theoretical model of jump diffusion-mean reversion Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor |
| 作者 | |
| 通讯作者 | Luo, Zongwei |
| 发表日期 | 2017
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| DOI | |
| 发表期刊 | |
| ISSN | 1463-7154
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| EISSN | 1758-4116
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| 卷号 | 23期号:3页码:537-554 |
| 摘要 | Purpose - The purpose of this paper is to develop a theoretical model of a jump diffusion-mean reversion constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor as opposed to the deterministic floor used in the previous literatures. |
| 关键词 | |
| 相关链接 | [来源记录] |
| 收录类别 | |
| 语种 | 英语
|
| 学校署名 | 通讯
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| 资助项目 | SUSTech Startup fund[Y01236215]
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| WOS研究方向 | Business & Economics
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| WOS类目 | Business
; Management
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| WOS记录号 | WOS:000404745900006
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| 出版者 | |
| 来源库 | Web of Science
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| 引用统计 |
被引频次[WOS]：0
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| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/29229 |
| 专题 | 工学院_计算机科学与工程系 |
| 作者单位 | 1.CRISIL Global Res & Analyt, Dept Quantitat Res, Pune, Maharashtra, India 2.Southern Univ Sci & Technol, Dept Comp Sci, Shenzhen, Peoples R China 3.Symbiosis Int Univ, Inst Operat Management, Nasik, India |
| 通讯作者单位 | 计算机科学与工程系 |
| 推荐引用方式 GB/T 7714 |
Chakrabarty, Anindya,Luo, Zongwei,Dubey, Rameshwar,et al. A theoretical model of jump diffusion-mean reversion Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor[J]. Business Process Management Journal,2017,23(3):537-554.
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| APA |
Chakrabarty, Anindya,Luo, Zongwei,Dubey, Rameshwar,&Jiang, Shan.(2017).A theoretical model of jump diffusion-mean reversion Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor.Business Process Management Journal,23(3),537-554.
|
| MLA |
Chakrabarty, Anindya,et al."A theoretical model of jump diffusion-mean reversion Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor".Business Process Management Journal 23.3(2017):537-554.
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| 条目包含的文件 | ||||||
| 文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | 操作 | |
| 10-1108_BPMJ-01-2016（444KB） | -- | -- | 限制开放 | -- | ||
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