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Continuous-time mean-variance portfolio optimization in a jump-diffusion market

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  • Özge Alp
  • Ralf Korn

Abstract

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Suggested Citation

  • Özge Alp & Ralf Korn, 2011. "Continuous-time mean-variance portfolio optimization in a jump-diffusion market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(1), pages 21-40, May.
    • Handle: RePEc:spr:decfin:v:34:y:2011:i:1:p:21-40
    DOI: 10.1007/s10203-010-0106-7
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    References listed on IDEAS

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    1. Gennotte, Gerard, 1986. "Optimal Portfolio Choice under Incomplete Information," Journal of Finance, American Finance Association, vol. 41(3), pages 733-746, July.
    2. M. J. Brennan, 1998. "The Role of Learning in Dynamic Portfolio Decisions," Review of Finance, European Finance Association, vol. 1(3), pages 295-306.
    3. Carl Lindberg, 2009. "Portfolio optimization when expected stock returns are determined by exposure to risk," Papers 0906.2271, arXiv.org.
    4. Jörn Sass & Ulrich Haussmann, 2004. "Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain," Finance and Stochastics, Springer, vol. 8(4), pages 553-577, November.
    5. Detemple, Jerome B, 1986. "Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, vol. 41(2), pages 383-391, June.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Qi, Yue & Liao, Kezhi & Liu, Tongyang & Zhang, Yu, 2022. "Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths," Operations Research Perspectives, Elsevier, vol. 9(C).

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    More about this item

    Keywords

    Mean-variance approach; Jump-diffusions; Portfolio optimization; C61; G11;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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