Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence
Abstract
:1. Introduction
2. The Model
2.1. Some Necessary Notations
2.2. The Insurance Risk Process
2.3. Description of Financial Market
2.4. Problem Formulation
3. The Closed-Form Solution to HJB Equation
4. Efficient Strategy and Efficient Frontier
5. Sensitive Analysis
6. Conclusions
Author Contributions
Acknowledgments
Conflicts of Interest
References
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Tian, Y.; Sun, Z. Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence. J. Risk Financial Manag. 2018, 11, 25. https://doi.org/10.3390/jrfm11020025
Tian Y, Sun Z. Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence. Journal of Risk and Financial Management. 2018; 11(2):25. https://doi.org/10.3390/jrfm11020025
Chicago/Turabian StyleTian, Yingxu, and Zhongyang Sun. 2018. "Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence" Journal of Risk and Financial Management 11, no. 2: 25. https://doi.org/10.3390/jrfm11020025