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~person:"Sun, Zhongyang"
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HJB equation
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common shock
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efficient frontier
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general mean-variance optimization problem
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optimal investment
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value function
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Sun, Zhongyang
Anufriev, Mikhail
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Journal of Risk and Financial Management
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Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu
;
Sun, Zhongyang
- In:
Journal of Risk and Financial Management
11
(
2018
)
2
,
pp. 1-12
processes are correlated by a common shock. A general
mean-variance
optimization
problem is investigated, that is, besides the …
Persistent link: https://www.econbiz.de/10012611013
Saved in:
2
Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu
;
Sun, Zhongyang
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
2
,
pp. 1-12
processes are correlated by a common shock. A general
mean-variance
optimization
problem is investigated, that is, besides the …
Persistent link: https://www.econbiz.de/10011857001
Saved in:
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