Continuous-time safety-first portfolio selection with jump-diffusion processes

Wei Yan

International Journal of Systems Science, 2012, vol. 43, issue 4, 622-628

Abstract: This article is concerned with continuous-time portfolio selection based on a safety-first criterion under discontinuous price processes (jump-diffusion processes). The solution of the corresponding Hamilton–Jacobi–Bellman equation of the problem is demonstrated. The analytical solutions are presented when there does not exist any riskless asset. Moreover, the problem is also discussed while there exists one riskless asset.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/00207721.2010.517866 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:tsysxx:v:43:y:2012:i:4:p:622-628

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/TSYS20

DOI: 10.1080/00207721.2010.517866

Access Statistics for this article

International Journal of Systems Science is currently edited by Visakan Kadirkamanathan

More articles in International Journal of Systems Science from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().