|
|||||
|
|
Approximation for portfolio optimization in a financial market with shot-noise jumps |
|
| Authors: | Putyatina Oleksandra Sass Jörn |
| Affiliation: | 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... |
| Keywords: | |
| 本文献已被 SpringerLink 等数据库收录！ | |