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

MaRDI QIDQ5456084zbMATH OpenFDO

Authors Haifeng Yan, Ming Lei, Wenjing Guo

Publication date 4 April 2008

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)

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