NDLI: Continuous-time mean-variance portfolio optimization in a jump-diffusion market

Content Provider	Springer Nature Link
Author	Alp, Özge Sezgin Korn, Ralf
Copyright Year	2010
Abstract	In this paper, we take up an approach of (Lindberg, in Bernoulli, 15(2):464–474, 2009) who introduced a new parameterization of the Black–Scholes model that allows for an easy solution of the continuous-time Markowitz mean-variance problem. We generalize the results of (Lindberg, in Bernoulli, 15(2):464–474, 2009) to a jump-diffusion market setting and slightly correct the proof and the assertion of the main result. Further, we demonstrate the implications of the Lindberg parameterization for the stock price drift vector in different market settings, analyse the dependence of the optimal portfolio from jump and diffusion risk and finally indicate how to use the method. We particularly also show how the optimal strategy can be obtained with the restricted use of historical data.
Starting Page	21
Ending Page	40
Page Count	20
File Format	PDF
ISSN	15938883
Journal	Decisions in Economics and Finance
Volume Number	34
Issue Number	1
e-ISSN	11296569
Language	English
Publisher	Springer Milan
Publisher Date	2010-09-19
Publisher Place	Milan
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Mean-variance approach Jump-diffusions Portfolio optimization Finance /Banking Econometrics Economic Theory Public Finance & Economics Operations Research/Decision Theory Management/Business for Professionals
Content Type	Text
Resource Type	Article
Subject	Finance

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Continuous-time mean-variance portfolio optimization in a jump-diffusion market