Optimal portfolio in a continuous-time self-exciting threshold model
From MaRDI portal
Recommendations
- Portfolio selection with jumps under regime switching
- Continuous-time mean-variance optimal portfolio selection with regime switching when stock prices follow geometric Levy processes
- Option valuation by a self-exciting threshold binomial model
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Partial information about contagion risk, self-exciting processes and portfolio optimization
Cited in
(9)- Partial information about contagion risk, self-exciting processes and portfolio optimization
- Optimal stochastic investment games under Markov regime switching market
- Robust portfolio selection for individuals: minimizing the probability of lifetime ruin
- Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
- Optimal investment and reinsurance for an insurer under Markov-modulated financial market
- A threshold model for local volatility: evidence of leverage and mean reversion effects on historical data
- An omega portfolio model with dynamic return thresholds
- A self-exciting threshold jump-diffusion model for option valuation
- Pricing European vanilla options under a jump-to-default threshold diffusion model
This page was built for publication: Optimal portfolio in a continuous-time self-exciting threshold model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q380475)
