A class of continuous-time portfolio selection with liability under jump-diffusion processes (Q3654564): Difference between revisions
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Revision as of 12:09, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of continuous-time portfolio selection with liability under jump-diffusion processes |
scientific article |
Statements
A class of continuous-time portfolio selection with liability under jump-diffusion processes (English)
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6 January 2010
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portfolio selection
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asset-liability management
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mean-variance criterion
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discontinuous prices
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VaR constraint
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