Continuous-time safety-first portfolio selection with jump-diffusion processes

DOI10.1080/00207721.2010.517866MaRDI QIDQ5497353zbMATH OpenOpenAlexFDO

Authors Wei Yan

Publication date 4 February 2015

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207721.2010.517866

zbMATH Keywords

continuous-time portfolio modelHJB equationmodern portfolioPoisson processsafety-first criterion

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A class of continuous-time portfolio selection with liability under jump-diffusion processes
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal portfolio selection when stock prices follow an jump-diffusion process
• Optimum consumption and portfolio rules in a continuous-time model
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• Safety First and the Holding of Assets

Cited in

(11)

• Multiperiod Telser's safety-first portfolio selection with regime switching
• Portfolio optimization under safety first expected utility with nonlinear probability distortion
• Uncertain programming models for portfolio selection with uncertain returns
• Diversified models for portfolio selection based on uncertain semivariance
• Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
• Optimal portfolio with stochastic process under safety-first criterion
• A class of continuous-time portfolio selection with liability under jump-diffusion processes
• scientific article; zbMATH DE number 1487901 (Why is no real title available?)
• Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions
• Oil supply between OPEC and non-OPEC based on game theory
• Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan

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