Portfolio problems based on jump-diffusion models (Q2867605)
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scientific article; zbMATH DE number 6241312
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio problems based on jump-diffusion models |
scientific article; zbMATH DE number 6241312 |
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Portfolio problems based on jump-diffusion models (English)
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19 December 2013
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mean-variance
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optimal portfolio problems
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stochastic linear-quadratic method
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optimal control
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stochastic jump-diffusion differential equation
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0.8970331
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0.8939663
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0.89086354
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0.88732266
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0.8864894
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0.8853011
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0.8838681
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The authors consider optimal portfolio problems based on asset price processes satisfying a jump-diffusion stochastic differential equation. They also arrive at the efficient frontier of the optimal portfolio selection problem. The result presented in the paper may be regarded as a natural generalization of the work of \textit{X. Y. Zhou} and \textit{D. Li} [Appl. Math. Optim. 42, No. 1, 19--33 (2000; Zbl 0998.91023)] who considered the same portfolio problem and proposed the well-known LQ framework and an efficient frontier for this problem.
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