Optimal portfolio model under compound jump processes
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Cites work
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Optimal portfolio selection when stock prices follow an jump-diffusion process
- Optimal portfolios with bounded capital at risk.
- Optimization Problems in the Theory of Continuous Trading
Cited in
(7)- A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk
- Portfolio problems based on jump-diffusion models
- Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
- When do jumps matter for portfolio optimization?
- Optimal Portfolio and Consumption Policies Subject to Rishel's Important Jump Events Model: Computational Methods
- Computer Construction of Quasi Optimal Portfolio for Stochastic Models with Jumps of Financial Markets
- The economic model of the geometric Brownian motion with Poisson jumps
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