Portfolio problems based on jump-diffusion models
The authors consider optimal portfolio problems based on asset price processes satisfying a jump-diffusion stochastic differential equation. They also arrive at the efficient frontier of the optimal portfolio selection problem. The result presented in the paper may be regarded as a natural generalization of the work of \textit{X. Y. Zhou} and \textit{D. Li} [Appl. Math. Optim. 42, No. 1, 19--33 (2000; Zbl 0998.91023)] who considered the same portfolio problem and proposed the well-known LQ framework and an efficient frontier for this problem.
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- Optimal portfolio model under compound jump processes
- A martingale approach to optimal portfolios with jump-diffusions
- Dynamic mean-variance portfolio selection in market with jump-diffusion models
- The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
- Game-theoretic optimal portfolios for jump diffusions
- Stochastic Partial Differential Equations and Portfolio Choice
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- Optimal portfolio application with double-uniform jump model
- Portfolio choice with jumps: a closed-form solution
- The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process
- Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models
- Dynamic asset allocation with loss aversion in a jump-diffusion model
- Optimal portfolio selection when stock prices follow an jump-diffusion process
- Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process
- The optimal portfolio strategy under different utility functions
- Optimal portfolio with stochastic process under safety-first criterion
- A proposal of portfolio choice for infinitely divisible distributions of asset returns
- Capital asset pricing for markets with intensity based jumps
- Minimum tracking error problem for jump diffusion stock-price process
- scientific article; zbMATH DE number 1989783 (Why is no real title available?)
- scientific article; zbMATH DE number 1487901 (Why is no real title available?)
- scientific article; zbMATH DE number 1526954 (Why is no real title available?)
- Optimal portfolio model under compound jump processes
- On the parabolic equation for portfolio problems
- Optimal portfolio for multi-type asset models using filtered various information
- Optimal portfolio application with double-uniform jump model
- A note on a new approach to both price and volatility jumps: an application to the portfolio model
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
- Continuous-time safety-first portfolio selection with jump-diffusion processes
- Multi-type financial asset models for portfolio construction
- A new optimal portfolio selection model with owner-occupied housing
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