Approximation for portfolio optimization in a financial market with shot-noise jumps

DOI10.1007/s10287-017-0294-5zbMath1417.91478OpenAlexW2767482426MaRDI QIDQ1616797

Oleksandra Putyatina, Jörn Sass

Publication date: 7 November 2018

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-017-0294-5

zbMATH Keywords

utility maximizationcompound Poisson processGaussian approximationHamilton-Jacobi-Bellman (HJB) equationMerton problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

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