ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT (Q2892981): Difference between revisions

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+Portfolio choice with jumps: a closed-form solution
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+Q5583030
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+Rare Disasters and Asset Markets in the Twentieth Century*
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+Post-'87 crash fears in the S\&P 500 futures option market
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+The Role of Learning in Dynamic Portfolio Decisions *
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+PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
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+CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
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+Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
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+Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
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+Default and information
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+An overview of credit derivatives
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Optimal portfolio choice for unobservable and regime-switching mean returns
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+DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
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+On Worst-Case Portfolio Optimization
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+OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
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+Bankruptcy, Counterparty Risk, and Contagion*
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+Asset allocation with contagion and explicit bankruptcy procedures
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+Credit Risk Modeling
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+Asset Prices in an Exchange Economy
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+CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION
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+Optimum consumption and portfolio rules in a continuous-time model
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+The Role of Portfolio Constraints in the International Propagation of Shocks
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+Is Regime Switching in Stock Returns Important in Portfolio Decisions?
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+CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
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