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Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
Dual method continuous-time Markowitz's Problems nonlinear wealth equations
2010/12/20
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the op...
MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps
Risk Aversion MV Analysis temporal efficient frontier
2011/4/6
This paper studies sequential portfolio choices by MPS-risk-averse investors in a continuous time jump-diffusion framework. It is shown that the optimal trading strategies for MPS risk averse investor...