Mean-Variance Portfolio Selection in Contagious Markets

DOI10.1137/20M1320560zbMath1489.91239arXiv2110.09417OpenAlexW3205811966MaRDI QIDQ5071496

Bin Zou, Yang Shen

Publication date: 21 April 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.09417

zbMATH Keywords

stochastic maximum principlelinear-quadratic controljump-diffusionHawkes processoptimal investmentefficient strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

Related Items (1)

Hedging strategy for unit-linked life insurance contracts with self-exciting jump clustering

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