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Optimal portfolio selection when stock prices follow an jump-diffusion process |
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| Authors: | |
| Institution: | (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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