Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
Yi Hong, Xing Jin
| Year of publication: |
16 February 2018
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| Authors: | Hong, Yi ; Jin, Xing |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 265.2018, 1 (16.2.), p. 389-398
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| Subject: | Finance | Optimal portfolio selection | Jump-diffusion models | HARA utility functions | Bond-stock mix | Theorie | Theory | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.08.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011805508