Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (Q5407987): Difference between revisions

Latest revision as of 13:51, 7 July 2024

scientific article; zbMATH DE number 6281605

Language	Label	Description	Also known as
English	Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach	scientific article; zbMATH DE number 6281605

Statements

instance of

scholarly article

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title

Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach (English)

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published in

Numerical Methods for Partial Differential Equations

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publication date

8 April 2014

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zbMATH Keywords

finite difference

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Hamilton-Jacobi-Bellman equation

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impulse control

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mean-variance

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viscosity solution

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/num.21836

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cites work

Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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A geometric approach to multiperiod mean variance optimization of assets and liabilities

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CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

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Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation

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On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

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COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS

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BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM

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Benchmark and mean-variance problems for insurers

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Mean-variance portfolio selection for a non-life insurance company

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Mean-variance optimization problems for an accumulation phase in a defined benefit plan

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Mean-variance portfolio and contribution selection in stochastic pension funding

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Q3355178

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Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions

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Option pricing when underlying stock returns are discontinuous

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Dynamic mean-variance portfolio selection with borrowing constraint

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Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization

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A unified approach to portfolio optimization with linear transaction costs

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Continuous-time stochastic control and optimization with financial applications

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Robust numerical methods for contingent claims under jump diffusion processes

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Impulse Control of Multidimensional Jump Diffusions

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Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance

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Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)

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Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

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Mean-Variance Hedging When There Are Jumps

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Identifiers

zbMATH Open document ID

1284.91569

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DOI

10.1002/num.21836

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5407987

@@ Property / author @@
-Duy Minh Dang
@@ Property / author: Duy Minh Dang / rank @@
-Normal rank
@@ Property / author @@
-Q175883
@@ Property / author: Q175883 / rank @@
-Normal rank
@@ Property / author @@
+Duy Minh Dang
@@ Property / author: Duy Minh Dang / rank @@
+Normal rank
@@ Property / author @@
+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1002/num.21836
@@ Property / full work available at URL: https://doi.org/10.1002/num.21836 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2324833241
@@ Property / OpenAlex ID: W2324833241 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
+Normal rank
@@ Property / cites work @@
+Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
+Normal rank
@@ Property / cites work @@
+On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
+Normal rank
@@ Property / cites work @@
+COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS
+Normal rank
@@ Property / cites work @@
+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
+Normal rank
@@ Property / cites work @@
+Benchmark and mean-variance problems for insurers
@@ Property / cites work: Benchmark and mean-variance problems for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection for a non-life insurance company
+Normal rank
@@ Property / cites work @@
+Mean-variance optimization problems for an accumulation phase in a defined benefit plan
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio and contribution selection in stochastic pension funding
+Normal rank
@@ Property / cites work @@
+Q3355178
@@ Property / cites work: Q3355178 / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance portfolio selection with borrowing constraint
+Normal rank
@@ Property / cites work @@
+Preservation of Scalarization Optimal Points in the Embedding Technique for Continuous Time Mean Variance Optimization
+Normal rank
@@ Property / cites work @@
+A unified approach to portfolio optimization with linear transaction costs
+Normal rank
@@ Property / cites work @@
+Continuous-time stochastic control and optimization with financial applications
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Impulse Control of Multidimensional Jump Diffusions
+Normal rank
@@ Property / cites work @@
+Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
+Normal rank
@@ Property / cites work @@
+Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
+Normal rank
@@ Property / cites work @@
+Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging When There Are Jumps
@@ Property / cites work: Mean-Variance Hedging When There Are Jumps / rank @@
+Normal rank