Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints
Year of publication: |
2013
|
---|---|
Authors: | Jin, Xing ; Zhang, Kun |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 5, p. 1733-1746
|
Subject: | Optimal portfolio choice | Portfolio constraints | Jump-diffusion process | Martingale-duality approach | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process |
-
Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints
Jin, Xing, (2013)
-
Optimal investment strategy in the family of 4/2 stochastic volatility models
Cheng, Yuyang, (2021)
-
Liang, Zhibin, (2016)
- More ...
-
Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints
Jin, Xing, (2013)
-
Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints
Jin, Xing, (2013)
-
Faff, Robert W., (2017)
- More ...