Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
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Publication:5407987
DOI10.1002/num.21836zbMath1284.91569OpenAlexW2324833241MaRDI QIDQ5407987
Duy Minh Dang, Peter A. I. Forsyth
Publication date: 8 April 2014
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.21836
Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Integro-partial differential equations (45K05) Portfolio theory (91G10)
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