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HJB equation
Portfolio selection
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Sun, Zhongyang
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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:
3
The impact of savings withdrawals on a banker's capital holdings subject to Basel III accord
Perera, Ryle S.
;
Sato, Kimitoshi
- In:
Annals of financial economics
15
(
2020
)
2
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012642961
Saved in:
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