Journal of East China Normal University(Natural Sc ›› 2004, Vol. 2004 ›› Issue (2): 37-42.

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The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes

XU Zhi-yan   

  1. Department of Statistics, East China Normal University, Shanghai 200062, China
  • Received:2002-09-25 Revised:2003-06-13 Online:2004-06-25 Published:2004-06-25
  • Contact: XU Zhi-yan

Abstract: In this paper, We generalize the results of Yan et al［1］ results on the growth optimal portfolio in a market driven by jump-diffusion processes with multi-risky assets. Sufficient conditions for existence of growth optimal portfolio in this case were given.

Key words: semimartingale, growth optimal portfolio, jump diffusion, semimartingale, growth optimal portfolio

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