Portfolio optimization based on jump-diffusion stochastic differential equation
In order to better link the stochastic diffusion stochastic differential equation with securities investment, this paper proposes a securities portfolio optimization method of the stochastic diffusion stochastic differential equation. In this paper, the stock Shanghai composite index is taken as the...
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| Format: | Article |
| Language: | English |
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Elsevier
2020-08-01
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| Series: | Alexandria Engineering Journal |
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| Online Access: | http://www.sciencedirect.com/science/article/pii/S1110016820301654 |