Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
Article Abstract:
Research is presented describing the study of a jump diffusion bank account and stock market to determine the investment policy and optimal consumption levels required.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2001
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On optimal terminal wealth under transaction costs
Article Abstract:
Research is presented describing the study of financial markets to determine optimal terminal wealth levels required to operate maximum transaction costs.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2001
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Wealth optimization in an incomplete market driven by a jump-diffusion process
Article Abstract:
Research is presented describing the study of portfolio optimization using jump market diffusion and market risk strategy behaviour.
Publication Name: The Journal of Mathematical Economics
Subject: Mathematics
ISSN: 0304-4068
Year: 2001
User Contributions:
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