Continuous-time safety-first portfolio selection with jump-diffusion processes (Q5497353)
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scientific article; zbMATH DE number 6396827
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time safety-first portfolio selection with jump-diffusion processes |
scientific article; zbMATH DE number 6396827 |
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Continuous-time safety-first portfolio selection with jump-diffusion processes (English)
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4 February 2015
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modern portfolio
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safety-first criterion
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continuous-time portfolio model
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Poisson process
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HJB equation
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