Pages that link to "Item:Q1024892"

The following pages link to Portfolio choice with jumps: a closed-form solution (Q1024892):

Displaying 33 items.

• Increased correlation among asset classes: are volatility or jumps to blame, or both? (Q308360) (← links)
• Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) (← links)
• Estimating jump-diffusions using closed-form likelihood expansions (Q311641) (← links)
• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (Q319811) (← links)
• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets (Q322955) (← links)
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
• Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets (Q651334) (← links)
• Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
• Optimal investment of variance-swaps in jump-diffusion market with regime-switching (Q1655762) (← links)
• Optimal portfolios when variances and covariances can jump (Q1655780) (← links)
• Optimal pension fund management in a jump-diffusion environment: theoretical and empirical studies (Q1675952) (← links)
• Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix (Q1681369) (← links)
• Robust consumption and portfolio policies when asset prices can jump (Q1757535) (← links)
• Partial information about contagion risk, self-exciting processes and portfolio optimization (Q1994368) (← links)
• Consuming durable goods when stock markets jump: a strategic asset allocation approach (Q1994529) (← links)
• Optimal investment in the presence of intangible assets and collateralized optimal debt ratio in jump-diffusion models (Q2041144) (← links)
• Pandemic portfolio choice (Q2083972) (← links)
• Portfolio selection: a review (Q2247913) (← links)
• COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
• Optimal control of investment, premium and deductible for a non-life insurance company (Q2665865) (← links)
• Dynamic optimal hedge ratio design when price and production are stochastic with jump (Q2675247) (← links)
• ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT (Q2892981) (← links)
• Resolution of Degeneracy in Merton's Portfolio Problem (Q2953941) (← links)
• The Value of Insight (Q3387920) (← links)
• Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model (Q5019593) (← links)
• Testing for Jump Spillovers Without Testing for Jumps (Q5120659) (← links)
• m-Double Poisson Lévy markets (Q5139259) (← links)
• Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach (Q5219546) (← links)
• Robust Portfolio Choice and Indifference Valuation (Q5247614) (← links)
• A NOTE ON A NEW APPROACH TO BOTH PRICE AND VOLATILITY JUMPS: AN APPLICATION TO THE PORTFOLIO MODEL (Q5369467) (← links)
• Long-term dynamic asset allocation under asymmetric risk preferences (Q6090179) (← links)
• Brief synopsis of the scientific career of T. R. Hurd (Q6644191) (← links)
• Financial finance (Q6644194) (← links)