Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
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Publication:5356918
DOI10.1080/02331934.2017.1310212zbMath1378.91115OpenAlexW2604917219MaRDI QIDQ5356918
Jia Yue, Nan-Jing Huang, Ming-hui Wang
Publication date: 12 September 2017
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2017.1310212
quantile formulationcontinuous time mean-variance portfolio selectionintractable claimrobust optimization probleminvestment portfolio processes with Poisson jumps
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