Artikel
Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A general mean-variance optimization problem is investigated, that is, besides the objective of terminal condition, the quadratic optimization functional includes also a running penalizing cost, which represents the deviations of the insurer's wealth from a desired profit-solvency goal. By solving the Hamilton-Jacobi-Bellman (HJB) equation, we derive the closed-form expressions for the value function, as well as the optimal strategy. Moreover, under suitable assumption on model parameters, our problem reduces to the classical mean-variance portfolio selection problem and the efficient frontier is obtained.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 11 ; Year: 2018 ; Issue: 2 ; Pages: 1-12 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
optimal investment
common shock
general mean-variance optimization problem
HJB equation
value function
efficient frontier
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Tian, Yingxu
Sun, Zhongyang
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2018
- DOI
-
doi:10.3390/jrfm11020025
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Tian, Yingxu
- Sun, Zhongyang
- MDPI
Entstanden
- 2018
Ähnliche Objekte (12)
Optimierung eines Mean-Variance Portfolios
Mean-variance portfolio selection with complex constraints
Efficient mean-variance portfolio selection by double regularization
Essays on mean-variance portfolio optimization in commodity markets
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Mean-variance portfolio efficiency under leverage aversion and trading impact
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
An application of portfolio mean-variance and semi-variance optimization techniques: A case of Fiji
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection
Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Optimierung eines Mean-Variance Portfolios
Mean-variance portfolio selection with complex constraints
Efficient mean-variance portfolio selection by double regularization
Essays on mean-variance portfolio optimization in commodity markets
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Mean-variance portfolio efficiency under leverage aversion and trading impact
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
An application of portfolio mean-variance and semi-variance optimization techniques: A case of Fiji
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection
Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Optimierung eines Mean-Variance Portfolios
Mean-variance portfolio selection with complex constraints
Efficient mean-variance portfolio selection by double regularization
Essays on mean-variance portfolio optimization in commodity markets
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Mean-variance portfolio efficiency under leverage aversion and trading impact
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
An application of portfolio mean-variance and semi-variance optimization techniques: A case of Fiji
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection
Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility