Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process

DOI10.1007/S00186-006-0139-4MaRDI QIDQ2460044zbMATH OpenOpenAlexFDO

Authors Wenjing Guo, Chengming Xu

Publication date 14 November 2007

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-006-0139-4

zbMATH Keywords

Efficient frontierOptimal investment strategy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Portfolio problems based on jump-diffusion models
• Optimal portfolio selection when stock prices follow an jump-diffusion process
• Minimum tracking error problem for jump diffusion stock-price process
• Optimal portfolio application with double-uniform jump model
• Erratum to ``Behavioral portfolio selection in continuous time

Cites work

• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Optimal portfolio selection when stock prices follow an jump-diffusion process

Cited in

(4)

• Erratum to ``Behavioral portfolio selection in continuous time
• Correction
• Correction to: ``Portfolio optimization for credit-risky assets under Marshall-Olkin dependence
• Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions

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