Portfolio problems based on jump-diffusion models

DOI10.2298/FIL1203573LzbMath1289.91158OpenAlexW2148628994MaRDI QIDQ2867605

Jun Zhao, Peibiao Zhao, Tiantian Liu

Publication date: 19 December 2013

Published in: Filomat (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2298/fil1203573l

zbMATH Keywords

optimal controlmean-varianceoptimal portfolio problemsstochastic jump-diffusion differential equationstochastic linear-quadratic method

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Portfolio theory (91G10) Dynamic stochastic general equilibrium theory (91B51)

Related Items (2)

Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies ⋮ Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models

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