| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089466 | Journal of Banking & Finance | 2013 | 14 Pages |
Abstract
⺠Extending the constrained portfolio choice problem in pure-diffusion models to a jump-diffusion model. ⺠Illustrating that the new methods significantly simplify and facilitate solving the constrained optimal portfolio choice problem in jump-diffusion models. ⺠Illustrating the no-short-selling and no-borrowing constraints has sizable effects on the performance of optimal portfolios.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Xing Jin, Kun Zhang,