Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process

DOI10.1080/00207179.2016.1169441MaRDI QIDQ2979575zbMATH OpenOpenAlexFDO

Authors Wei Yan, Yuwen Chang

Publication date 25 April 2017

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2016.1169441

zbMATH Keywords

mean-variance criterionexchange ratestochastic HJB equationjump-diffussion processsafety-first criterion

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time safety-first portfolio selection with jump-diffusion processes
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Optimal portfolio selection when stock prices follow an jump-diffusion process
• Optimum consumption and portfolio rules in a continuous-time model
• Option pricing when underlying stock returns are discontinuous
• Safety First and the Holding of Assets

Cited in

(3)

• Optimal portfolio with stochastic process under safety-first criterion
• Optimal portfolio of foreign direct investment with fluctuations of exchange rate under jump-diffusion
• Closed-form optimal strategies of continuous-time options with stochastic differential equations

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