Continuous-time mean-variance portfolio optimization in a jump-diffusion market

DOI10.1007/S10203-010-0106-7zbMath1232.91603OpenAlexW1990188636MaRDI QIDQ538272

Özge Sezgin Alp, Ralf Korn

Publication date: 25 May 2011

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-010-0106-7

zbMATH Keywords

portfolio optimizationjump-diffusionsmean-variance approach

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Investing equally in risk ⋮ Mean-variance problems for finite horizon semi-Markov decision processes ⋮ Continuous-time mean-variance portfolios: a comparison

Cites Work

• Portfolio optimization when expected stock returns are determined by exposure to risk
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Continuous-time mean-variance efficiency: the 80\% rule
• Mean-variance hedging in continuous time
• Approximating random variables by stochastic integrals
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• The Role of Learning in Dynamic Portfolio Decisions *
• Continuous-time portfolio optimization under terminal wealth constraints

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