Mean-variance optimal portfolio selection with random parameters and discontinuous stock prices

zbMATH Open1174.91008MaRDI QIDQ5456084FDOQ5456084

Authors: Haifeng Yan, Ming Lei, Wenjing Guo 

Publication date: 4 April 2008

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zbMATH Keywords

jump-diffusionrandom parameterM-V model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Portfolio theory (91G10) Stochastic processes (60G99)

Cited In (4)

• Global-asset portfolio decision optimization with random parameters in the framework of LQ theory
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