Approximation for portfolio optimization in a financial market with shot-noise jumps (Q1616797)
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scientific article; zbMATH DE number 6974508
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| English | Approximation for portfolio optimization in a financial market with shot-noise jumps |
scientific article; zbMATH DE number 6974508 |
Statements
Approximation for portfolio optimization in a financial market with shot-noise jumps (English)
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7 November 2018
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utility maximization
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Hamilton-Jacobi-Bellman (HJB) equation
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compound Poisson process
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Gaussian approximation
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Merton problem
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0.8956238
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0.8930518
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0.8882996
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0.88470024
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0.8843704
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0.88329184
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0.8829891
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0.8829334
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