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Solving it algebraically: As seen in the above provided reference (just above " 1) "), the general formulation for the unconstrained Markowitz portfolio optimization scheme, is given by: \begin{align} &\text{arg}\max_{w} \; w^T\mu-\frac{\delta}{2} w^T\Sigma w.\\ \end{align} In absence of any constraints, the above optimization scheme have the ...


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Duffie et al. (2000) show how to obtain the characteristic function of the log asset price in a fairly general affine jump diffusion model. Among others this includes the Black-Scholes (1973) model, the Heston (1993) model, the Bates (1996) model, the Merton (1976) model and the Kou (2002) model. This case also allows you to add stochastic interest rates. ...


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