The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes

DOI10.1214/17-BJPS383zbMath1419.91404OpenAlexW2909048657MaRDI QIDQ1729811

Yong-Chao Zhang, Na Zhang

Publication date: 28 February 2019

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1547456492

zbMATH Keywords

equivalencePoisson processdynamic asset allocationstatic asset allocation

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32)

Cites Work

• Asymptotic analysis of hedging errors in models with jumps
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Static versus dynamic hedges: an empirical comparison for barrier options
• Lévy Processes and Stochastic Calculus
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Asset allocation and derivatives
• Financial Derivatives in Theory and Practice
• On the equivalence of the static and dynamic asset allocation problems

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