A Martingale Approach to Optimal Portfolios with Jump-diffusions (Q2884610)

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A Martingale Approach to Optimal Portfolios with Jump-diffusions
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    title
    A Martingale Approach to Optimal Portfolios with Jump-diffusions (English)
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    DOI
    10.1137/100784412
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    author
    Daniel Michelbrink
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    Huiling Le
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    publication date
    30 May 2012
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    Mathematics Subject Classification ID
    91G10
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    60G40
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    60G44
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    91B16
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    60J75
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    60J60
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    zbMATH DE Number
    6039299
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    zbMATH Keywords
    Martingale approach
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    convex optimization
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    jump-diffusions
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    incomplete markets
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    OpenAlex ID
    W1978317527
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