Mean-Variance Portfolio Selections in Continuous-Time Mode with Poisson Jumps.
Zijun GuoPublished in: CSO (2) (2009)
Keyphrases
- portfolio selection
- markov chain
- portfolio optimization
- efficient frontier
- portfolio management
- data envelopment analysis
- markov processes
- closed form
- investment strategies
- poisson process
- optimal control
- asset allocation
- dynamical systems
- steady state
- quasi linear
- poisson distribution
- state space
- data sets
- poisson processes
- stock market
- utility function
- decision makers
- decision making
- arrival process
- real time