Better than pre-committed optimal mean-variance policy in a jump diffusion market

Yun Shi, Xun Li, Xiangyu Cui. Better than pre-committed optimal mean-variance policy in a jump diffusion market. Math. Meth. of OR, 85(3):327-347, 2017. [doi]

Authors

Yun Shi

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Xun Li

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Xiangyu Cui

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