2 papers
math.OC2025
MP and DPP for Mean-Variance Portfolio Selection Problem with Poisson Jumps, Recursive Utility and Their Relationship
Qiyue Zhang, Jingtao Shi
In this paper, the mean-variance portfolio selection problem with Poisson jumps are studied, where the recursive utility is given by the solution to a backward stochastic different…
q-fin.PM2025
Two Stochastic Control Methods for Mean-Variance Portfolio Selection of Jump Diffusions and Their Relationship
Qiyue Zhang, Jingtao Shi
This paper is concerned with the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions and their relationship. First, the opt…