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XU Zhi-yan. The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes[J]. Journal of East China Normal University (Natural Sciences), 2004, (2): 37-42.
Citation:
XU Zhi-yan. The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes[J]. Journal of East China Normal University (Natural Sciences), 2004, (2): 37-42.
XU Zhi-yan. The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes[J]. Journal of East China Normal University (Natural Sciences), 2004, (2): 37-42.
Citation:
XU Zhi-yan. The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes[J]. Journal of East China Normal University (Natural Sciences), 2004, (2): 37-42.
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.