[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789814578059_0010.html
   My bibliography  Save this book chapter

Managing Against a Benchmark: Jump-Diffusion Case

In: RISK-SENSITIVE INVESTMENT MANAGEMENT

Author

Listed:
  • Mark H. A. Davis
  • Sébastien Lleo
Abstract
The following sections are included:IntroductionFinancial Market, Investment Portfolio and BenchmarkDynamic Programming and the Value FunctionExistence of a Classical (C1,2) Solution Under Affine Drift AssumptionsExistence of a Classical (C1,2) Solution Under Standard Control AssumptionsFund Separation Theorem

Suggested Citation

  • Mark H. A. Davis & Sébastien Lleo, 2014. "Managing Against a Benchmark: Jump-Diffusion Case," World Scientific Book Chapters, in: RISK-SENSITIVE INVESTMENT MANAGEMENT, chapter 10, pages 227-260, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814578059_0010
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789814578059_0010
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789814578059_0010
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. William Robson, 2019. "Healthcare Spending Overshoots a Threat to Sustainability," e-briefs 290, C.D. Howe Institute.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789814578059_0010. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.