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ZHANG Qiang
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2000
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Growth optimal portfolio
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Jump-Diffusion
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Lévy process
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Martingale measure
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Numeraire port-folio
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Relative entropy
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Annals of Economics and Fin...
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Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process
Journal article
Annals of Economics and Finance,2000, volume: 1, issue: 1, pages: 101-116
Authors:
Yan, Jia'an
;
Zhang, Qiang
;
Zhang, Shuguang
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Submit date：2021/05/13
Growth optimal portfolio
Jump-Diffusion
Lévy process
Martingale measure
Numeraire port-folio
Relative entropy
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