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

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  • Özge Alp
  • Ralf Korn

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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. Carl Lindberg, 2009. "Portfolio optimization when expected stock returns are determined by exposure to risk," Papers 0906.2271, arXiv.org.
    3. M. J. Brennan, 1998. "The Role of Learning in Dynamic Portfolio Decisions," Review of Finance, European Finance Association, vol. 1(3), pages 295-306.
    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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