Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach

By Xiaomin Shi, Zuo Quan Xu

Published 2024-06-07

Everscope rating

1302.1

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Viscosity solution approach. Problem types: Portfolio Optimization, Risk Management.

arXiv:2406.03709 · Paper rankings

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