Better than pre-committed optimal mean-variance policy in a jump diffusion market
Yun Shi, Xun Li, Xiangyu Cui
| Year of publication: |
June 2017
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|---|---|
| Authors: | Shi, Yun ; Li, Xun ; Cui, Xiangyu |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 85.2017, 3, p. 327-347
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| Subject: | Mean field approach | Pre-committed optimal mean-variance policy | Jump diffusion market | Time consistency in efficiency | Semi-self-financing revised policy | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Zeitkonsistenz | Time consistency |