Two Stochastic Control Methods for Mean-Variance Portfolio Selection of Jump Diffusions and Their Relationship
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866912516107403264 |
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| author | Zhang, Qiyue Shi, Jingtao |
| author_facet | Zhang, Qiyue Shi, Jingtao |
| contents | This paper is concerned with the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions and their relationship. First, the optimal portfolio and efficient frontier of the problem are obtained using both methods. Furthermore, the relationship between these two methods is investigated. Specially, the connections between the adjoint processes and value function are given. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2508_01138 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Two Stochastic Control Methods for Mean-Variance Portfolio Selection of Jump Diffusions and Their Relationship Zhang, Qiyue Shi, Jingtao Portfolio Management Optimization and Control 93E20, 60H10, 49N10 This paper is concerned with the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions and their relationship. First, the optimal portfolio and efficient frontier of the problem are obtained using both methods. Furthermore, the relationship between these two methods is investigated. Specially, the connections between the adjoint processes and value function are given. |
| title | Two Stochastic Control Methods for Mean-Variance Portfolio Selection of Jump Diffusions and Their Relationship |
| topic | Portfolio Management Optimization and Control 93E20, 60H10, 49N10 |
| url | https://arxiv.org/abs/2508.01138 |