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Correction on “Optimal portfolio selection when stock prices follow an jump-diffusion process”

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Abstract

In this paper, we point some errors in Guo and Xu (Math Methods Oper Res 60:485–496, 2004) and give the correct expressions of optimal investment strategy and efficient frontier.

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References

  • Guo W, Xu C (2004) Optimal portfolio selection when stock prices follow an jump-diffusion process. Math Methods Oper Res 60:485–496

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Authors and Affiliations

  1. School of Finance, Nanjing University of Finance and Economics, Nanjing, Jiangsu, 210046, People’s Republic of China

    Wenjing Guo & Chengming Xu

  2. Institute for Quantitative Finance and Insurance, Department of Statistics & Actuarial Science, University of Waterloo, Waterloo, ON, N2L3G1, Canada

    Wenjing Guo

Authors
  1. Wenjing Guo
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  2. Chengming Xu
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Correspondence to Wenjing Guo.

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Guo, W., Xu, C. Correction on “Optimal portfolio selection when stock prices follow an jump-diffusion process”. Math Meth Oper Res 65, 559–564 (2007). https://doi.org/10.1007/s00186-006-0139-4

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  • DOI: https://doi.org/10.1007/s00186-006-0139-4

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