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Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Deterministic criteria arbitrage one-dimensional diffusion models
2010/10/20
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in the one-dimensional d...
Constant Proportion Portfolio Insurance (CPPI) is an investment strategy designed to give par-
ticipation in the performance of a risky asset while protecting the invested capital. This protection is...