A class of continuous-time portfolio selection with liability under jump-diffusion processes

doi:10.1080/00207170903015172

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	A class of continuous-time portfolio selection with liability under jump-diffusion processes
	Yan, Wei
	2009
发表期刊	INTERNATIONAL JOURNAL OF CONTROL
ISSN	0020-7179
卷号	82 期号:12 页码:2277-2283
摘要	A continuous-time mean-variance portfolio selection model is formulated with multiple risky assets and one liability under discontinuous prices which follow jump-diffusion processes in an incomplete market. The correlations between the risky assets and the liability are considered. The corresponding Hamilton-Jacobi-Bellman equation of the problem is presented. The optimal dynamic strategy and the efficient frontier in closed forms are derived explicitly by using stochastic linear-quadratic control technique. Finally, the effects on efficient frontier under the value-at-risk constraint are illustrated.
关键词	portfolio selection asset-liability management mean-variance criterion discontinuous prices VaR constraint
DOI	10.1080/00207170903015172
语种	英语
WOS研究方向	Automation & Control Systems
WOS类目	Automation & Control Systems
WOS记录号	WOS:000271508000010
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8688
专题	中国科学院数学与系统科学研究院
通讯作者	Yan, Wei
作者单位	Chinese Acad Sci, Key Lab Math Mechanizat, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Yan, Wei. A class of continuous-time portfolio selection with liability under jump-diffusion processes[J]. INTERNATIONAL JOURNAL OF CONTROL,2009,82(12):2277-2283.
APA	Yan, Wei.(2009).A class of continuous-time portfolio selection with liability under jump-diffusion processes.INTERNATIONAL JOURNAL OF CONTROL,82(12),2277-2283.
MLA	Yan, Wei."A class of continuous-time portfolio selection with liability under jump-diffusion processes".INTERNATIONAL JOURNAL OF CONTROL 82.12(2009):2277-2283.