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Re: Derivation of Ito Lemma
Posted:
Sep 29, 2012 11:21 AM


Yeah, if it is not a real physics application you really need to read the paper. It shows that Ito calculus is orthogonal to nature when applied to finance. There is a fundamental math error in Harry Markowitz's original paper on meanvariance finance. There are three cases to solve, Markowitz solved one, the one he solved does not apply to finance. The one that applies to finance precludes Ito's lemma.



