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

DOI10.1080/00207179.2016.1169441zbMath1360.93790OpenAlexW2305975304MaRDI QIDQ2979575

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

exchange ratemean-variance criterionstochastic HJB equationjump-diffussion processsafety-first criterion

Mathematics Subject Classification ID

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

Related Items (1)

Closed-form optimal strategies of continuous-time options with stochastic differential equations

Cites Work

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• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints
• Safety First and the Holding of Assets

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