Entropy-Regularized Mean-Variance Portfolio Optimization with Jumps
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Publication:6464489
arXiv2312.13409MaRDI QIDQ6464489FDOQ6464489
Authors: Christian Bender, Nguyen Tran Thuan 
Publication date: 20 December 2023
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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