Dynamic portfolio strategies under a fully correlated jump-diffusion process (Q2334411)
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scientific article; zbMATH DE number 7127640
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| English | Dynamic portfolio strategies under a fully correlated jump-diffusion process |
scientific article; zbMATH DE number 7127640 |
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Dynamic portfolio strategies under a fully correlated jump-diffusion process (English)
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7 November 2019
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dynamic portfolio choice
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HJB equation
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stochastic volatility
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stochastic intensity
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welfare loss
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0.7771977782249451
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0.7760521769523621
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0.772662878036499
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0.7688064575195312
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