Jump-diffusion international asset allocation

DOI10.1007/S11579-015-0160-6MaRDI QIDQ300842zbMATHOpenAlexFDO

Authors Jaeyoung Sung

Publication date 29 June 2016

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-015-0160-6

zbMATH Keywords

exchange rate riskinflation riskinternational asset allocationjump-diffusion asset pricenontraded goodPPP deviationpurchasing power parityTIPS bond

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

• A Dynamic Equilibrium Model of International Portfolio Holdings
• A Dynamic Equilibrium Model of International Portfolio Holdings: Comment
• Dynamic asset pricing with non-redundant forwards
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimization Problems in the Theory of Continuous Trading
• Point processes and queues. Martingale dynamics

Cited in

(2)

• Cojumps and asset allocation in international equity markets
• Analytical VaR for international portfolios with common jumps

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