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Exit times in non-Markovian drifting continuous-time random walk processes
non-Markovian drifting continuous-time random walk processes
2010/10/18
By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it d...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...
Continuous-Time Markowitz's Model with Transaction Costs
continuous time mean-variance transaction costs singular stochastic control planning horizon
2010/11/1
A continuous-time Markowitz’s mean-variance portfolio selection problem is studied in a market
with one stock, one bond, and proportional transaction costs. This is a singular stochastic control prob...