Generalized Stochastic Processes: The Portfolio Model

DOI: 10.4236/jmf.2012.22022   PDF   HTML   XML   3,504 Downloads   6,889 Views  

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.

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M. Alghalith, "Generalized Stochastic Processes: The Portfolio Model," Journal of Mathematical Finance, Vol. 2 No. 2, 2012, pp. 199-201. doi: 10.4236/jmf.2012.22022.

Conflicts of Interest

The authors declare no conflicts of interest.

References

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[2] F. Focardi and F. Fabozzi, “The Mathematics of Financial Modeling and Investment Management,” Wiley E-Series, 2004.
[3] M. Alghalith, “A New Stochastic Factor Model: General Explicit Solutions,” Applied Mathematics Letters, Vol. 22, No. 12, 2009, pp. 1852-1854. doi:10.1016/j.aml.2009.07.011
[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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