A Martingale Approach to Optimal Portfolios with Jump-diffusions

DOI10.1137/100784412zbMath1251.91055OpenAlexW1978317527MaRDI QIDQ2884610

Daniel Michelbrink, Huiling Le

Publication date: 30 May 2012

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/d89a91c0afad031c82988d83400f55488406e8e5

zbMATH Keywords

convex optimizationincomplete marketsjump-diffusionsMartingale approach

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Portfolio theory (91G10)

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Optimal investment-consumption and life insurance with capital constraints ⋮ Portfolio Choice with Market--Credit-Risk Dependencies ⋮ Constrained mean-variance portfolio optimization for jump-diffusion process under partial information ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ An investment and consumption problem with CIR interest rate and stochastic volatility ⋮ Dynamic safety first expected utility model ⋮ Unnamed Item ⋮ PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK ⋮ Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models

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