scholarly journals Optimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion Models with Jump-Bankruptcy Condition: Practical Theory

2008 ◽  
Author(s):  
Floyd B. Hanson
Keyword(s):  
Stochastic Volatility ◽  
Jump Diffusion ◽  
Diffusion Models ◽  
Optimal Portfolio ◽  
Portfolio Problem

scholarly journals Portfolio problems based on jump-diffusion models

Filomat ◽  
2012 ◽  
Vol 26 (3) ◽  
pp. 573-583 ◽  
Author(s):  
Tiantian Liu ◽  
Jun Zhao ◽  
Peibiao Zhao
Keyword(s):  
Differential Equation ◽  
Stochastic Differential Equation ◽  
Asset Price ◽  
Efficient Frontier ◽  
Jump Diffusion ◽  
Natural Generalization ◽  
Optimal Portfolio ◽  
Linear Quadratic ◽  
Price Process ◽  
Portfolio Problem

Zhou and Li [49] by virtue of stochastic linear-quadratic control theory studied the optimal portfolio problems with the asset price process satisfying a diffusion stochastic differential equation, and proposed the celebrated LQ framework and the efficient frontier for the given portfolio problem. In this paper, we consider the optimal portfolio problems based on the asset price process satisfying a jump-diffusion stochastic differential equation. Similarly, we also arrive at the efficient frontier of the optimal portfolio selection problem. The conclusions obtained here can be regarded as a natural generalization of the work by Zhou and Li [49].

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