A Martingale approach to optimal portfolios with jump-diffusions and benchmarks
We consider various portfolio optimization problems when the stock prices follow jump-diusion processes. In the first part the classical optimal consumption-investment problem is considered. The investor's goal is to maximize utility from consumption and terminal wealth over a finite investment...
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| Format: | Thesis (University of Nottingham only) |
| Language: | English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/12612/ |