A class of continuous-time portfolio selection with liability under jump-diffusion processes (Q3654564)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of continuous-time portfolio selection with liability under jump-diffusion processes |
scientific article |
Statements
A class of continuous-time portfolio selection with liability under jump-diffusion processes (English)
0 references
6 January 2010
0 references
portfolio selection
0 references
asset-liability management
0 references
mean-variance criterion
0 references
discontinuous prices
0 references
VaR constraint
0 references
0 references
0 references
0 references
