Optimum portfolio diversification in a general continuous-time model
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Cited in
(38)- Optimal investment in markets with over and under-reaction to information
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- ``Itō's lemma and the Bellman equation for Poisson processes: An applied view
- Portfolio selection: a review
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- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
- A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
- Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
- Robust consumption and portfolio policies when asset prices can jump
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- On optimal portfolio diversification with respect to extreme risks
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- Portfolio diversification with Markovian prices
- Admissible investment strategies in continuous trading
- Partial information about contagion risk, self-exciting processes and portfolio optimization
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- Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
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- Stability for multidimensional jump-diffusion processes
- Ruin problems and myopic portfolio optimization in continuous trading
- OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
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