The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes
-
摘要: 作者将严加安等的带一个跳过程的整体最优策略的结果,推广到一个广义的市场,该市场具有多个跳过程、多个风险资产.给出了该市场下整体最优投资策略存在的一个充分条件.Abstract: In this paper, We generalize the results of Yan et al[1] results on the growth optimal portfolio in a market driven by jump-diffusion processes with multi-risky assets. Sufficient conditions for existence of growth optimal portfolio in this case were given.
-
Key words:
- jump diffusionsemimartingalegrowth optimal portfolio /
点击查看大图
计量
- 文章访问数: 6332
- HTML全文浏览量: 26
- PDF下载量: 322
- 被引次数: 0