A class of continuous-time portfolio selection with liability under jump-diffusion processes (Q3654564): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207170903015172
+Normal rank
@@ Property / OpenAlex ID @@
+W2081431450
@@ Property / OpenAlex ID: W2081431450 / rank @@
+Normal rank
@@ Property / cites work @@
+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection when stock prices follow an jump-diffusion process
+Normal rank
@@ Property / cites work @@
+Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank