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Approximation for portfolio optimization in a financial market with shot-noise jumps |
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| Authors: | Putyatina Oleksandra Sass Jörn |
| Institution: | 1.University of Kaiserslautern, Erwin-Schrödinger-Str., 67663, Kaiserslautern, Germany ; |
| Abstract: | Computational Management Science - For an investor in a continuous-time financial market the portfolio optimization problem of maximizing expected utility of terminal wealth is considered. Stock... |
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