Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models (Q4563802)
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scientific article; zbMATH DE number 6880362
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| English | Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models |
scientific article; zbMATH DE number 6880362 |
Statements
RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS (English)
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4 June 2018
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financial crisis
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asset allocation
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subordinators
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idiosyncratic jump
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systematic jump
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multivariate jump-diffusion process
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0.7274137139320374
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0.7233068943023682
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0.7138662934303284
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0.6969025135040283
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0.6962365508079529
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