Optimal portfolio selection when stock prices follow an jump-diffusion process.
Wenjing GuoChengming XuPublished in: Math. Methods Oper. Res. (2004)
Keyphrases
- portfolio selection
- financial markets
- stock price
- portfolio optimization
- optimal portfolio
- stock market
- portfolio management
- optimal solution
- dow jones
- stock exchange
- financial data
- jump diffusion process
- robust optimization
- dynamic programming
- financial time series
- risk management
- news articles
- text classification
- information extraction
- decision making