Wealth optimization in an incomplete market driven by a jump-diffusion process

DOI10.1016/S0304-4068(00)00068-9zbMath0987.91032OpenAlexW2060790187MaRDI QIDQ5939298

Nadine Bellamy

Publication date: 20 June 2002

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(00)00068-9

zbMATH Keywords

diffusionequivalent martingale measureincomplete marketutility functionPoisson processoptimal portfoliowealth optimization

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (8)

Optimal Stopping Problem Associated with Jump-diffusion Processes ⋮ PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION ⋮ Arbitrage and control problems in finance. A presentation ⋮ Special issue: Arbitrage and control problems in finance ⋮ Portfolio optimization in a defaultable Lévy-driven market model ⋮ Wealth optimization and dual problems for jump stock dynamics with stochastic factor ⋮ Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility ⋮ Dynamic asset allocation with loss aversion in a jump-diffusion model

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• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimization Problems in the Theory of Continuous Trading
• Martingale Analysis for Assets with Discontinuous Returns

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