Better than pre-committed optimal mean-variance policy in a jump diffusion market.

Yun Shi Xun Li Xiangyu Cui

Published in: Math. Methods Oper. Res. (2017)

Keyphrases

asymptotically optimal
markov decision
optimal pricing
optimal solution
optimal policy
investment strategies
finite horizon
worst case
pricing strategies
financial markets
profit maximizing
average cost
infinite horizon
linear program
utility function
linear programming
dynamic programming