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《Chinese Journal of Applied Probability and Statistics》 2010-01
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Portfolio Generating Functions with Price Driving by Brown Motions and Poisson Point-Processes

Guo Zijun(Science College,South China Agriculture University,Guangzhou,510642)  
The models of price driving by Brown motions and Poisson point-processes are studied.Using the method of stochastic analysis,the relation between the portfolio generated by portfolio generating function and the market asset portfolio is concluded.
【Fund】: 国家自然科学基金(70672024)资助
【CateGory Index】: O211.63
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