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控制理论与应用 2005
Optimal portfolio selectionwhen stock prices follow jump-diffusion process
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Abstract:
It is assumed that the stock price follows the jump-diffusion process.In view of the traditional mean-variance portfolio selection model,we maximize the expected terminal return and minimize the variance of the terminal wealth. A stochastic linear-quadratic control problem is introduced as auxiliary problem of the initial problem.A verification theorem for general stochastic optimal control with the state following a jump-diffusion process is showed.By applying verification theorem to the HJB(Hamilton-Jacobi-Bellman) equation,the optimal strategies in an explicit form for initial control problem are presented.Finally,the efficient frontier in a closed form for the original portfolio selection problem is given.