Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Year of publication: |
June 2018
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Authors: | Tian, Yingxu ; Sun, Zhongyang |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 11.2018, 2, p. 1-12
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Subject: | optimal investment | common shock | general mean-variance optimization problem | HJB equation | value function | efficient frontier | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Schock | Shock | Stochastischer Prozess | Stochastic process |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm11020025 [DOI] hdl:10419/238872 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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