Dynamic mean–variance portfolio selection in market with jump-diffusion models

DOI10.1080/02331934.2012.754099zbMath1309.91133OpenAlexW2006171088MaRDI QIDQ4981879

Banxiang Duan, Zijun Guo

Publication date: 20 March 2015

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2012.754099

zbMATH Keywords

optimizationstochastic optimal controlbackward stochastic differential equationefficient frontiermean-variance portfolio selectioninvestment portfolio processes

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (2)

Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Adapted solution of a backward stochastic differential equation
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Utility maximization with partial information
• A generalized clark representation formula, with application to optimal portfolios
• Stochastic Differential Utility
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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