Optimal portfolio selection when stock prices follow an jump-diffusion process
From MaRDI portal
Publication:2386341
DOI10.1007/s001860400365zbMath1123.91026MaRDI QIDQ2386341
Publication date: 22 August 2005
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860400365
Related Items
Optimal portfolio model under compound jump processes, OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET, Continuous-time safety-first portfolio selection with jump-diffusion processes, Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market, Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market, Optimal control of uncertain systems with jump under optimistic value criterion, A class of portfolio selection with a four-factor futures price model, Dynamic asset allocation with loss aversion in a jump-diffusion model, Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process, Mean-variance portfolio selection for a non-life insurance company, Government Debt Control: Optimal Currency Portfolio and Payments, Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets, Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process, Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints, A class of continuous-time portfolio selection with liability under jump-diffusion processes
