Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
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Publication:2871726
DOI10.1080/00207179.2012.735373zbMath1278.91155MaRDI QIDQ2871726
Yan Zeng, Huiling Wu, Zhong-Fei Li
Publication date: 9 January 2014
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2012.735373
Hamilton-Jacobi-Bellman equation; Lévy processes; duality theory; benchmark and mean-variance criteria; exogenous cash flow
93E20: Optimal stochastic control
91G80: Financial applications of other theories
91G10: Portfolio theory
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