Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion (Q5346595): Difference between revisions
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Revision as of 23:02, 19 March 2024
scientific article; zbMATH DE number 6723261
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion |
scientific article; zbMATH DE number 6723261 |
Statements
Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion (English)
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26 May 2017
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portfolio
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common shock
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state dependent risk aversion
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mean-variance utility
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time-consistent strategy
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jump-diffusion process
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Hamilton-Jacobi-Bellman equation
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