Dynamic asset allocation with loss aversion in a jump-diffusion model

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

zbMATH Keywords

loss aversionmartingalejump-diffusion processasset allocation

Mathematics Subject Classification ID

Portfolio theory (91G10)

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

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