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

@inproceedings{Zhang2017TheEO,
  title={The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes},
  author={Yong-Chao Zhang and Na Zhang},
  year={2017}
}
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… CONTINUE READING