Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach
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Publication:5219546
DOI10.1287/moor.2017.0854zbMath1443.91262OpenAlexW2615715988MaRDI QIDQ5219546
Dan Luo, Xudong Zeng, Xing Jin
Publication date: 12 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/85746/8/WRAP-dynamic-asset-allocation-uncertain-Jin-2017.pdf
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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