w-MPS risk aversion and continuous-time MV analysis in presence of Lévy jumps

DOI10.3233/RDA-2011-0043zbMath1409.91266OpenAlexW1185831625MaRDI QIDQ3119590

Chenghu Ma

Publication date: 12 March 2019

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2011-0043

zbMATH Keywords

sequential portfolio choicetemporal mean-variance analysisw-MPS risk aversion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Utility theory (91B16) Credit risk (91G40)

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