A class of continuous-time portfolio selection with liability under jump-diffusion processes (Q3654564)
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scientific article; zbMATH DE number 5653909
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| default for all languages | No label defined |
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| English | A class of continuous-time portfolio selection with liability under jump-diffusion processes |
scientific article; zbMATH DE number 5653909 |
Statements
A class of continuous-time portfolio selection with liability under jump-diffusion processes (English)
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6 January 2010
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portfolio selection
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asset-liability management
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mean-variance criterion
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discontinuous prices
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VaR constraint
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0.9202812910079956
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0.9080496430397034
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0.8591949343681335
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0.8490088582038879
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0.847369372844696
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