Approximation for portfolio optimization in a financial market with shot-noise jumps (Q1616797)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation for portfolio optimization in a financial market with shot-noise jumps |
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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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