Dynamic asset allocation with loss aversion in a jump-diffusion model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s10255-015-0485-1.pdf
Reference19 articles.
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2. Bellamy, N. Wealth optimization in an incomplete market driven by a jump-diffusion process. Journal of Mathematical Economics, 35: 259–287 (2001)
3. Berkelaar, A.B., Kouwenberg, R., Post, T. Optimal portfolio choice under loss aversion. Review of Economics and Statistics, 86(4): 973–987 (2004)
4. Callegaro, G., Vargiolu, T. Optimal portfolio for HARA utility functions in a pure jump multidimensional incomplete market. International Journal of Risk Assessment and Management, 11: 180–200 (2009)
5. Cei, C. An HJB approach to exponential utility maximization for jump processes. International Journal of Risk Assessment and Management, 11: 104–121 (2009)
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