{"id":"W2803544802","doi":"10.3390/jrfm11020025","title":"Mean-Variance Portfolio Selection in a Jump-Diffusion Financial Market with Common Shock Dependence","year":2018,"lang":"en","type":"article","venue":"Journal of risk and financial management","topic":"Insurance, Mortality, Demography, Risk Management","field":"Social Sciences","cited_by":3,"is_retracted":false,"has_abstract":true,"ca_institutions":"","funders":"","keywords":"Efficient frontier; Jump diffusion; Hamilton–Jacobi–Bellman equation; Portfolio; Bellman equation; Mathematical optimization; Mathematics; Econometrics; Portfolio optimization; Financial market; Economics; Jump; Finance","routes":{"ca_aff":false,"ca_fund":false,"ca_venue":true,"about_ca":false,"invisible_to_affiliation_only":true},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002571719,0.0002199646,0.0003955672,0.0005623012,0.0006563152,0.0001239879,0.0003588227,0.0001275743,0.00008986465],"category_scores_gemma":[0.0001192794,0.0001949985,0.0001066011,0.001138694,0.0003325375,0.0004813219,0.0001165364,0.0003929378,0.000006250191],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0001716866,"about_ca_system_score_gemma":0.0001313111,"about_ca_topic_candidate":true,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.002192753,"about_ca_topic_score_gemma":0.03413564,"domain_scores_codex":[0.9973924,0.000296817,0.0006252534,0.0003288688,0.0008681398,0.0004884868],"domain_scores_gemma":[0.9987862,0.00005455929,0.0006245052,0.0001567204,0.0002420898,0.0001359095],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"observational","study_design_gemma":"observational","study_design_scores_codex":[0.001296656,0.0004454112,0.7135299,0.0000747032,0.00004373782,0.0003741008,0.005079886,0.00005743221,0.000007395354,0.04123242,0.006042673,0.2318157],"study_design_scores_gemma":[0.00121128,0.0004203873,0.8639632,0.0002017778,0.0001059687,0.00001151454,0.0008283435,0.00009171229,0.000008637117,0.006629351,0.1262788,0.0002491062],"study_design_candidate":"observational","study_design_consensus":"observational","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9596738,0.0004027133,0.01537704,0.0001626319,0.0008458297,0.0006073524,0.000006767291,0.00003089801,0.02289295],"genre_scores_gemma":[0.9902372,0.005679191,0.00253101,0.0002040486,0.0007464706,0.00001363246,6.024124e-7,0.00001472888,0.0005730622],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.2315665,"threshold_uncertainty_score":0.9834889,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.006400916101298773,"score_gpt":0.2441614531368364,"score_spread":0.2377605370355376,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}