A class of continuous-time portfolio selection with liability under jump-diffusion processes

doi:10.1080/00207170903015172

	A class of continuous-time portfolio selection with liability under jump-diffusion processes
	Yan, Wei
刊名	INTERNATIONAL JOURNAL OF CONTROL
	2009
卷号	82 期号:12 页码:2277-2283
关键词	portfolio selection asset-liability management mean-variance criterion discontinuous prices VaR constraint
ISSN号	0020-7179
DOI	10.1080/00207170903015172
英文摘要	A continuous-time mean-variance portfolio selection model is formulated with multiple risky assets and one liability under discontinuous prices which follow jump-diffusion processes in an incomplete market. The correlations between the risky assets and the liability are considered. The corresponding Hamilton-Jacobi-Bellman equation of the problem is presented. The optimal dynamic strategy and the efficient frontier in closed forms are derived explicitly by using stochastic linear-quadratic control technique. Finally, the effects on efficient frontier under the value-at-risk constraint are illustrated.
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000271508000010
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/8687]
专题	中国科学院数学与系统科学研究院
通讯作者	Yan, Wei
作者单位	Chinese Acad Sci, Key Lab Math Mechanizat, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yan, Wei. A class of continuous-time portfolio selection with liability under jump-diffusion processes[J]. INTERNATIONAL JOURNAL OF CONTROL,2009,82(12):2277-2283.
APA	Yan, Wei.(2009).A class of continuous-time portfolio selection with liability under jump-diffusion processes.INTERNATIONAL JOURNAL OF CONTROL,82(12),2277-2283.
MLA	Yan, Wei."A class of continuous-time portfolio selection with liability under jump-diffusion processes".INTERNATIONAL JOURNAL OF CONTROL 82.12(2009):2277-2283.