A theoretical model of jump diffusion-mean reversion: Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor - researchr publication authors

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Anindya Chakrabarty, Zongwei Luo, Rameshwar Dubey, Shan Jiang. A theoretical model of jump diffusion-mean reversion: Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor. Business Proc. Manag. Journal, 23(3):537-554, 2017. [doi]

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