Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process (Q2979575)
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scientific article; zbMATH DE number 6708037
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| English | Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process |
scientific article; zbMATH DE number 6708037 |
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Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process (English)
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25 April 2017
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exchange rate
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jump-diffussion process
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mean-variance criterion
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stochastic HJB equation
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safety-first criterion
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0.8709135
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0.86204845
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0.86082566
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0.85828614
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0.85693455
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0.85634553
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0.8563381
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0.8534706
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