scientific article; zbMATH DE number 1526954

MaRDI QIDQ4513325zbMATH OpenFDO

Authors Xinghua Liu

Publication date 7 November 2000

zbMATH Keywords

Brownian motiondiffusion-jump processmean-variance portfolio selectionPoisson processstochastic maximum principle

Mathematics Subject Classification ID

Portfolio theory (91G10)

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(11)

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• Mean-variance portfolio selection in presence of infrequently traded stocks
• scientific article; zbMATH DE number 2133120 (Why is no real title available?)
• Minimum tracking error problem for jump diffusion stock-price process
• Dynamic mean-variance portfolio selection in market with jump-diffusion models
• Mean-variance portfolio selection in contagious markets
• Mean-variance portfolio selection for partially observed point processes
• Optimal mean-variance portfolio selection
• Portfolio diversification with Markovian prices
• Variational equality and portfolio optimization for price processes with jumps
• Constrained mean-variance portfolio optimization for jump-diffusion process under partial information

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