Managing Against a Benchmark: Jump-Diffusion Case

The following sections are included:IntroductionFinancial Market, Investment Portfolio and BenchmarkDynamic Programming and the Value FunctionExistence of a Classical (C1,2) Solution Under Affine Drift AssumptionsExistence of a Classical (C1,2) Solution Under Standard Control AssumptionsFund Separation Theorem

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Authors:	Davis, Mark H. A. ; Lleo, Sébastien
Published in:	Risk-Sensitive Investment Management.
Subject:	Stochastic Control \| Risk Sensitive Control \| Dynamic Investment Management \| Benchmarked Asset Management \| Asset and Liability Management \| Jump Diffusion Processes \| Lévy Processes \| Hamilton–Jacobi–Bellman Equations \| Classical Solutions \| Viscosity Solutions \| Kelly Criterion

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G11 - Portfolio Choice ; G12 - Asset Pricing ; C02 - Mathematical Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011206808