This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A...

A portfolio selection problem in which the prices of stocks follow jump-diffusion process is studied. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. A stochastic linear-quadratic control problem is introduced as auxiliary problem of...

A portfolio selection problem in which the prices of stocks follow jump-diffusion process is studied. The objective is to maximize the expected terminal return and minimize the variance of the terminal wealth. A stochastic linear-quadratic control problem is introduced as auxiliary problem of...

The purpose of this paper is to discuss the use of Value Efficiency Analysis (VEA) in efficiency evaluation when preference information is taken into account. Value efficiency analysis is an approach, which applies the ideas developed for Multiple Objective Linear Programming (MOLP) to Data...