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Correction on “Optimal portfolio selection when stock prices follow an jump-diffusion process”

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  • Wenjing Guo
  • Chengming Xu

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. Copyright Springer-Verlag 2007

Suggested Citation

  • Wenjing Guo & Chengming Xu, 2007. "Correction on “Optimal portfolio selection when stock prices follow an jump-diffusion process”," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 65(3), pages 559-564, June.
    • Handle: RePEc:spr:mathme:v:65:y:2007:i:3:p:559-564
    DOI: 10.1007/s00186-006-0139-4
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    References listed on IDEAS

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    1. Wenjing Guo & Chengming Xu, 2004. "Optimal portfolio selection when stock prices follow an jump-diffusion process," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 60(3), pages 485-496, December.
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