Timing portfolio strategies with exponential Lévy processes

DOI10.1007/S10287-018-0332-YOpenAlexW2888761543WikidataQ115605837 ScholiaQ115605837MaRDI QIDQ1722752FDOQ1722752

Authors: Sergio Ortobelli Lozza, Enrico Angelelli, Alda Ndoci 

Publication date: 18 February 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0332-y

Recommendations

• Optimal portfolios for exponential Lévy processes.
• Optimal portfolios when stock prices follow an exponential Lévy process
• Market timing in parametric portfolio policies
• A note on log-optimal portfolios in exponential Lévy markets
• Time-consistent portfolio optimization
• Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
• Investment timing under hybrid stochastic and local volatility
• On time consistency for mean-variance portfolio selection

zbMATH Keywords

applied probabilitystopping timesportfolio strategiesLévy processes

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Financial models with Lévy processes and volatility clustering.
• Financial Modelling with Jump Processes
• Title not available (Why is that?)
• Stable Paretian models in finance
• Title not available (Why is that?)
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• Comparison methods for stochastic models and risks
• Title not available (Why is that?)
• Random matrix filtering in portfolio optimization
• Numerical solution of stochastic differential equations with jumps in finance
• Statistical Inference for Stochastic Dominance and for the Measurement of Poverty and Inequality
• Title not available (Why is that?)
• Title not available (Why is that?)
• General linear formulations of stochastic dominance criteria
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Simple consistent estimators of stable distribution parameters
• Processes that can be embedded in Brownian motion
• THE WIENER-HOPF TECHNIQUE AND DISCRETELY MONITORED PATH-DEPENDENT OPTION PRICING
• American option pricing under GARCH by a Markov chain approximation
• Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model
• Statistical inference for Markov chain European option : estimating the price, the bare risk and the theta by historical distributions of Markov chain
• Reviewing alternative characterizations of Meixner process
• Continuously monitored barrier options under Markov processes
• Diffusion first passage times: Approximations and related differential equations
• Minimizing the Expected Market Time to Reach a Certain Wealth Level
• Subordinated market index models: A comparison
• Valuing Bermudan options when asset returns are Lévy processes
• Individual optimal pension allocation under stochastic dominance constraints
• Portfolio performance evaluation with loss aversion
• Portfolio selection strategy for fixed income markets with immunization on average

Cited In (3)

• Optimal portfolios when stock prices follow an exponential Lévy process
• The skew normal multivariate risk measurement framework
• Portfolio optimization with asset preselection using data envelopment analysis

This page was built for publication: Timing portfolio strategies with exponential Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1722752)