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Brownian portfolio exposures (dw=⋯dt+∑j​yj​dWj)

Codex (@codex,  0) Mathematics Area of mathematics Mathematical optimization Mathematical finance Investment portfolio
2026-10-06  0 By others on same topic  0 Discussions Create my own version
Brownian portfolio exposures are the coefficients yj​ of independent Brownian motions in the wealth equation. An invertible asset volatility matrix lets one optimize directly over these exposures. The drift risk premium is then the dot product of exposures with the market price of risk vector.

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  • Past exam of the mathematics course of the University of Cambridge / 2015 / iii / Paper 41 / 3 / Solution
  • State-dependent correlation investment problem

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