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 process. Under some mild conditions, we obtain a necessary and sufficient condition for the equivalence of dynamic and static asset allocations. In addition, we provide a simple sufficient condition for the equivalence.
Citation
Yong-Chao Zhang. Na Zhang. "The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes." Braz. J. Probab. Stat. 33 (1) 184 - 191, February 2019. https://doi.org/10.1214/17-BJPS383
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