Portfolio optimization based on jump-diffusion stochastic differential equation-Reference-Cited by-同舟云学术

Portfolio optimization based on jump-diffusion stochastic differential equation

Published:2020-08 Issue:4 Volume:59 Page:2503-2512
ISSN:1110-0168
Container-title:Alexandria Engineering Journal
language:en
Short-container-title:Alexandria Engineering Journal

Author:

Huang Yiling

Publisher

Elsevier BV

Subject

General Engineering

Reference33 articles.

1. A stochastic differential equation SIS epidemic model with two independent Brownian motions[J];Cai;J. Math. Anal. Appl.,2019

2. Prescribing response strategies to manage customer opinions: a stochastic differential equation approach[J];Yang;Inform. Syst. Res.,2019

3. Bayesian inference for stochastic differential equation mixed effects models of a tumour xenography study[J];Picchini;J. Roy. Stat. Soc.: Ser. C (Appl. Stat.),2019

4. Dynamical bulk scaling limit of Gaussian unitary ensembles and stochastic differential equation gaps[J];Kawamoto;J. Theor. Probab.,2019

5. Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations with Jumps[J];Tang;Asian J. Control,2019

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal strategy in CIR model and modified constant elasticity of variance;International Journal of Financial Engineering;2024-07-25

2. An approach to the integral optimization of investment portfolios;Journal of Open Innovation: Technology, Market, and Complexity;2024-03

3. A Data-Driven Design of the Optimal Investment Portfolio for the Industry in a two-level Game using the Markowitz Model by Meta-heuristic Algorithms: Economic Analysis of Condition Monitoring System;Scientia Iranica;2022-03-14