MARC details
| 000 -LEADER |
|---|
| fixed length control field |
01885nam a22002657a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
|---|
| control field |
20240503123047.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
230626b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
|---|
| International Standard Serial Number |
13504851 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| Language of cataloging |
English |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HB1.A666 APP |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Gazioglu, Saziye |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Jumps in an stochastic optimization |
| Remainder of title |
self-financing portfolio for risk averse investors: does bequest matter? |
| Statement of responsibility, etc. |
created by Şaziye Gaziog̃lu , Azize Bastıyalı-Hafavi and Özge Sezgin |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
New York: |
| Name of producer, publisher, distributor, manufacturer |
Taylor and Francis, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013 |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Applied economics letters |
| Volume/sequential designation |
Volume 20, number 9 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
We optimized consumer/investor behaviour, subject to self-financing constraint by using stochastic dynamics system with jumps. Our aim in this article was to compare a stochastic optimization model with and without jumps in a self-financing portfolio model, for the risk averse investors. In this article, our contribution to the literature was to introduce an analytical solution of the utility maximizing model and to investigate the consequences of jumps and bequest to the economic system. A previous model by Gazioglu and Bastiyali-Hafavi (2010) used optimization, only with a Brownian motion during optimization. In this article, we introduced jump difussion to Brownian motion during optimization. We compared the model with and without jumps for the risk averse investors. Furthermore, as a form of wealth, we compared the results with and without bequest. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Self financing portfolio |
| Form subdivision |
Stochastic optimal control problem |
| General subdivision |
Boundary conditions |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Bastıyalı-Hafavi, Azize |
| Relator term |
co-author |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Sezgin, Ozge |
| Relator term |
co-author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
https://doi.org/10.1080/13504851.2012.744158 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |