Martingale Analysis for Assets with Discontinuous Returns

DOI10.1287/MOOR.20.1.243MaRDI QIDQ4835397zbMATH OpenOpenAlexFDO

Authors Indrajit Bardhan, Xiuli Chao

Publication date 31 August 1995

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/moor.20.1.243

zbMATH Keywords

investmentpoint processesoptimal consumptionequivalent martingale measurestochastic intensity

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Diffusion processes (60J60)

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Cited in

(13)

• A simulation environment for discontinuous portfolio value processes
• Convergence of Disturbed Martingales and a Stochastic Model for Annuity Funds
• Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
• ASYMMETRIC INFORMATION IN A FINANCIAL MARKET WITH JUMPS
• The equilibrium allocation of diffusive and jump risks with heterogeneous agents
• Stochastic multi-agent equilibria in economies with jump-diffusion uncertainty
• Dynamic asset allocation with loss aversion in a jump-diffusion model
• Wealth optimization in an incomplete market driven by a jump-diffusion process
• Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints
• A martingale approach to optimal portfolios with jump-diffusions
• On martingale measures when asset returns have unpredictable jumps
• Retirement decision with addictive habit persistence in a jump diffusion market
• Portfolio selection: a review

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