Journal of East China Normal University(Natural Sc ›› 2004, Vol. 2004 ›› Issue (2): 37-42.
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XU Zhi-yan
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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
CLC Number:
O211
XU Zhi-yan. The Growth Optimal Portfolio in a General Market Driven by Jump-diffusion Processes [J]. Journal of East China Normal University(Natural Sc, 2004, 2004(2): 37-42.
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https://xblk.ecnu.edu.cn/EN/Y2004/V2004/I2/37