Dynamic Asset Allocation Concerning for Jumps in Price and Volatility
碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 95 === ABSTRACT This thesis studies the stochastic dynamic programming based on Duffie, Pan, and Singleton model (2000) to construct optimal problem for investors and include event risk in the price and volatility jump-diffusion model. However, we can’t obtain the...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/10683682968584453273 |