Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach
Xing Jin, Dan Luo, Xudong Zeng
| Year of publication: |
May 2018
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|---|---|
| Authors: | Jin, Xing ; Luo, Dan ; Zeng, Xudong |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 43.2018, 2, p. 347-376
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| Subject: | optimal investment | ambiguity aversion | duality method | jump diffusion | worst-case scenario | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikoaversion | Risk aversion | Volatilität | Volatility | Risiko | Risk | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Optionspreistheorie | Option pricing theory | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2017.0854 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011868609