A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models

DOI10.1016/J.MATCOM.2023.12.011arXiv2309.05977MaRDI QIDQ6129418

Duy Minh Dang, Han-Wen Zhang

Publication date: 17 April 2024

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2309.05977

zbMATH Keywords

monotonicityportfolio optimizationjump-diffusionmean-variancenumerical integration methoddiscrete rebalancing

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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