Continuous-time safety-first portfolio selection with jump-diffusion processes

被引:7
|
作者
Yan, Wei [1 ]
机构
[1] PetroChina, Res Inst Petr Explorat & Dev, Beijing 100083, Peoples R China
关键词
modern portfolio; safety-first criterion; continuous-time portfolio model; Poisson process; HJB equation;
D O I
10.1080/00207721.2010.517866
中图分类号
TP [自动化技术、计算机技术];
学科分类号
0812 ;
摘要
This article is concerned with continuous-time portfolio selection based on a safety-first criterion under discontinuous price processes (jump-diffusion processes). The solution of the corresponding Hamilton-Jacobi-Bellman equation of the problem is demonstrated. The analytical solutions are presented when there does not exist any riskless asset. Moreover, the problem is also discussed while there exists one riskless asset.
引用
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页码:622 / 628
页数:7
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