Optimal portfolio selection when stock prices follow an jump-diffusion process
From MaRDI portal
Publication:2386341
DOI10.1007/S001860400365zbMATH Open1123.91026OpenAlexW2067646529MaRDI QIDQ2386341FDOQ2386341
Authors: Wenjing Guo, Chengming Xu 
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
Recommendations
- Portfolio problems based on jump-diffusion models
- scientific article; zbMATH DE number 1526954
- Dynamic mean-variance portfolio selection in market with jump-diffusion models
- Minimum tracking error problem for jump diffusion stock-price process
- Stochastic LQ control framework for the hedging problem as the stock price follows jump-diffusion process
Cited In (30)
- Mean-variance portfolio selection for a non-life insurance company
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Optimal control of multifactor uncertain system with jumps
- Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
- Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- A class of continuous-time portfolio selection with liability under jump-diffusion processes
- A class of portfolio selection with a four-factor futures price model
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- Title not available (Why is that?)
- Dynamic mean-variance portfolio selection in market with jump-diffusion models
- Mean-variance stochastic control for the relative return process of jump-diffusion models with discretionary stopping
- Optimal portfolio model under compound jump processes
- Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process
- Optimal portfolios when stock prices follow an exponential Lévy process
- Dynamic asset allocation with loss aversion in a jump-diffusion model
- A defined benefit pension plan game with Brownian and Poisson jumps uncertainty
- HJB equation for optimal control system with random impulses
- The optimal portfolio strategy under different utility functions
- Government debt control: optimal currency portfolio and payments
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- Stochastic LQ control framework for the hedging problem as the stock price follows jump-diffusion process
- Title not available (Why is that?)
- 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 safety-first portfolio selection with jump-diffusion processes
- Minimum tracking error problem for jump diffusion stock-price process
- When do jumps matter for portfolio optimization?
- Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
- Optimal control of uncertain systems with jump under optimistic value criterion
This page was built for publication: Optimal portfolio selection when stock prices follow an jump-diffusion process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2386341)
