Martinez, Miguel; Rubenthaler, Sylvain; Tanr, Etienne - Institut für Schweizerisches Bankwesen <Zürich> - 2006
In this paper, we consider an investor who plays in a market that involves a risky asset whose instantaneous rate of return changes at unknown random times. This return rate is assumed to follow the law of a Compound Poisson Process. We construct optimal mathematical strategies in this context...