Dynamic asset allocation with loss aversion in a jump-diffusion model
From MaRDI portal
Publication:2355373
DOI10.1007/S10255-015-0485-1zbMath1319.91146OpenAlexW1085524903MaRDI QIDQ2355373
Shuguang Zhang, Xiuchun Bi, Hui Mi
Publication date: 22 July 2015
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-015-0485-1
Related Items (2)
OPTIMAL PORTFOLIO AND CONSUMPTION MODELS UNDER LOSS AVERSION IN INFINITE TIME HORIZON ⋮ Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints
Cites Work
- Unnamed Item
- Unnamed Item
- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Advances in prospect theory: cumulative representation of uncertainty
- Optimal portfolio selection when stock prices follow an jump-diffusion process
- Minimization of shortfall risk in a jump-diffusion model
- Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
- Mean-Variance Hedging When There Are Jumps
- Prospect Theory: An Analysis of Decision under Risk
- Martingale Analysis for Assets with Discontinuous Returns
- Wealth optimization in an incomplete market driven by a jump-diffusion process
This page was built for publication: Dynamic asset allocation with loss aversion in a jump-diffusion model
