OPTIMAL PORTFOLIO FOR A SMALL INVESTOR IN A MARKET MODEL WITH DISCONTINUOUS PRICES

被引：68

作者：

JEANBLANCPICQUE, M ^{[1
]}

PONTIER, M ^{[1
]}

机构：

[1] UNIV ORLEANS,DEPT MATHS INFO,F-45067 ORLEANS 2,FRANCE

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 1990年 / 22卷 / 03期

关键词：

D O I：

10.1007/BF01447332

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A consumption-investment problem is considered for a small investor in the case of a market model in which prices evolve according to a stochastic equation with a jump-process component. The techniques we use include the martingale representation theorem, Lagrange multiplier methods, and Markovian methods for the resolution of stochastic differential equations. We establish a Black-Scholes formula. © 1990 Springer-Verlag New York Inc.

引用

页码：287 / 310

页数：24

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