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The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes

Zhang, YC; Zhang, N

Zhang, YC (reprint author), Northeastern Univ Qinhuangdao, Sch Math & Stat, Taishan Rd 143, Qinhuangdao 066004, Peoples R China.

BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS, 2019; 33 (1): 184

Abstract

We investigate the equivalence of dynamic and static asset allocations in the case where the price process of a risky asset is driven by a Poisson pro......

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