An Approximate Solution for Optimal Portfolio in Incomplete Markets

DOI10.1007/978-3-540-69532-5_16MaRDI QIDQ3528741zbMATH OpenOpenAlexFDO

Authors Francesco Menoncin

Publication date 17 October 2008

Published in Mathematical Control Theory and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69532-5_16

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• Approximation for portfolio optimization in a financial market with shot-noise jumps
• An approximation scheme for solution to the optimal investment problem in incomplete markets
• Portfolio optimization
• Optimal portfolio selection and compression in an incomplete market
• scientific article; zbMATH DE number 2174800 (Why is no real title available?)
• Exact solutions and approximations for optimal investment strategies and indifference prices
• \(L^{2}\)-approximating pricing under restricted information

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