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

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+Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
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+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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+Optimal portfolio selection when stock prices follow an jump-diffusion process
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+Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
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+A geometric approach to multiperiod mean variance optimization of assets and liabilities
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Optimum consumption and portfolio rules in a continuous-time model
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+Option pricing when underlying stock returns are discontinuous
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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