Optimal portfolio selection when stock prices follow an jump-diffusion process

Mathematical Methods of Operations Research

Volumn 60, Issue 3, 2004, Pages 485-496

  Guo, Wenjing ^a   Xu, Chengming ^a  

^a NANJING UNIVERSITY OF FINANCE AND ECONOMICS   (China)

Author keywords

Efficient frontier; HJB equation; Jump diffusion process; Optimal portfolio

Indexed keywords

CONTROL SYSTEMS; DIFFUSION; MATHEMATICAL MODELS; PROBLEM SOLVING; THEOREM PROVING;

EFFICIENT FRONTIERS; JUMP-DIFFUSION PROCESS; OPTIMAL PORTFOLIO;

OPERATIONS RESEARCH;

EID: 10844266491     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860400365     Document Type: Article

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