Variational equality and portfolio optimization for price processes with jumps

MaRDI QIDQ5486565zbMATHFDO

Authors Hiroshi Kunita

Publication date 11 September 2006

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0009.html

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cited in

(6)

• Stochastic variational inequalities and optimal stopping: applications to the robustness of the portfolio/consumption processes
• Optimal portfolio for an insider in a market driven by Lévy processes§
• Optimal portfolio application with double-uniform jump model
• Approximation for portfolio optimization in a financial market with shot-noise jumps
• Wealth optimization and dual problems for jump stock dynamics with stochastic factor
• Optimal portfolios in Lévy markets under state-dependent bounded utility functions

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