Author Topic: A Benchmark Approach to Filtering in Finance  (Read 963 times)

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A Benchmark Approach to Filtering in Finance
« on: September 28, 2013, 10:54:12 AM »
A Benchmark Approach to Filtering in Finance

Abstract:

The paper proposes the use of the growth optimal portfolio for the construction of financial market models with unobserved factors that have to be Filtered. This benchmark strategy eliminates virtually any gauge change for your costs of derivatives. Your suggested structure allows to help gauge the actual decrease on the difference of type rates regarding raising degrees of available facts.

Author: Eckhard Platen and Wolfgang J. Runggaldier

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A Benchmark Approach to Filtering in Finance
« on: September 28, 2013, 10:54:12 AM »