Entropy-Regularized Mean-Variance Portfolio Optimization with Jumps

MaRDI QIDQ6464489FDOQ6464489

Authors Christian Bender, Nguyen Tran Thuan

Publication date 20 December 2023

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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