Correction on “Optimal portfolio selection when stock prices follow an jump-diffusion process” |
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| Authors: | Wenjing Guo Chengming Xu |
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| Institution: | (1) School of Finance, Nanjing University of Finance and Economics, Nanjing, Jiangsu, 210046, People’s Republic of China;(2) Institute for Quantitative Finance and Insurance, Department of Statistics & Actuarial Science, University of Waterloo, Waterloo, ON, N2L3G1, Canada |
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| Abstract: | In this paper, we point some errors in Guo and Xu (Math Methods Oper Res 60:485–496, 2004) and give the correct expressions
of optimal investment strategy and efficient frontier. |
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| Keywords: | Optimal investment strategy Efficient frontier |
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