Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim (Q5356918)
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scientific article; zbMATH DE number 6774313
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| English | Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim |
scientific article; zbMATH DE number 6774313 |
Statements
Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim (English)
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12 September 2017
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investment portfolio processes with Poisson jumps
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continuous time mean-variance portfolio selection
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intractable claim
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quantile formulation
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robust optimization problem
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0.9442427
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0.9151552
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0.91032636
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0.8944316
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0.89013183
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0.88658285
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0.87557316
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0.87485003
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