JMF  Vol.2 No.2 , May 2012
Generalized Stochastic Processes: The Portfolio Model
Author(s) Moawia Alghalith
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.

Cite this paper
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.
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.

[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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