Optimal portfolio model under compound jump processes
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Publication:4932910
DOI10.1108/03684920910944245zbMath1197.93123MaRDI QIDQ4932910
Publication date: 7 October 2010
Published in: Kybernetes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1108/03684920910944245
93C95: Application models in control theory
68U35: Computing methodologies for information systems (hypertext navigation, interfaces, decision support, etc.)
91G10: Portfolio theory
Cites Work
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Optimal portfolio selection when stock prices follow an jump-diffusion process
- Optimal Portfolios with Bounded Capital at Risk
- Optimization Problems in the Theory of Continuous Trading
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model