A Martingale approach to optimal portfolios with jump-diffusions and benchmarks
We consider various portfolio optimization problems when the stock prices follow jump-diusion processes. In the first part the classical optimal consumption-investment problem is considered. The investor's goal is to maximize utility from consumption and terminal wealth over a finite investment...
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University of Nottingham
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.559643 |