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Publications by Arne Lokka

Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes

Mathematical Finance

Applied Mathematics

Social Sciences

English

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Least Squares Estimator for Vasicek Model Driven by Fractional Levy Processes

JOURNAL OF ADVANCES IN MATHEMATICS

English

Existence of Affine Realizations for Stochastic Partial Differential Equations Driven by Levy Processes

Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences

English

Variance Reduction for Discrete Event Systems Driven by Poisson Processes

English

Optimal Portfolio Management When Stocks Are Driven by Mean Reverting Processes

Journal of Mathematical Finance

English

Hyperfinite Levy Processes

Stochastics and Stochastic Reports

English

Implicit and Explicit Social Mentalizing: Dual Processes Driven by a Shared Neural Network

Frontiers in Human Neuroscience

Neuropsychology

Physiological Psychology

Behavioral Neuroscience

Biological Psychiatry

English

Unit Root Inference for Non-Stationary Linear Processes Driven by Infinite Variance Innovations

Econometric Theory

Social Sciences

English

Bayesian Estimation of the Global Minimum Variance Portfolio

European Journal of Operational Research

Information Systems

Management Science

Computer Science

Operations Research

English

Characteristic-Based Mean-Variance Portfolio Choice

Journal of Banking and Finance

English