Optimal portfolio selection when stock prices follow an jump-diffusion process期刊界 All Journals 搜尽天下杂志传播学术成果专业期刊搜索期刊信息化学术搜索

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

Authors:	Wenjing?Guo author-information" > author-information__contact u-icon-before" > mailto:guowenjing@sina.com.cn" title=" guowenjing@sina.com.cn" itemprop=" email" data-track=" click" data-track-action=" Email author" data-track-label=" " >Email author,Chengming?Xu

Affiliation:	(1) Department of Finance & Banking Jiangsu, Nanjing University of Finance & Economics, Nanjing, 210003, P.R.China;(2) School of Finance, Nanjing University of Finance & Economics Jiangsu, Nanjing, 210046, P.R.China

Abstract:

Keywords:	Jump-diffusion process Optimal portfolio HJB equation Efficient frontier
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