Diversified portfolios with jumps in a benchmark framework
From MaRDI portal
Publication:2575440
Recommendations
Cites work
- scientific article; zbMATH DE number 1642354 (Why is no real title available?)
- scientific article; zbMATH DE number 4085365 (Why is no real title available?)
- scientific article; zbMATH DE number 17495 (Why is no real title available?)
- scientific article; zbMATH DE number 45955 (Why is no real title available?)
- scientific article; zbMATH DE number 1222788 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1746020 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 5052232 (Why is no real title available?)
- A class of complete benchmark models with intensity-based jumps
- A complete explicit solution to the log-optimal portfolio problem.
- A general version of the fundamental theorem of asset pricing
- A structure for general and specific market risk
- An Intertemporal Capital Asset Pricing Model
- Approximating Large Diversified Portfolios
- Arbitrage in continuous complete markets
- Diversified Portfolios in Continuous Time *
- Hedging of contingent claims and maximum price
- Intraday empirical analysis and modeling of diversified world stock indices
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The fundamental theorem of asset pricing for unbounded stochastic processes
- The numeraire portfolio for unbounded semimartingale
Cited in
(25)- A benchmark approach to filtering in finance
- Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
- A tractable model for indices approximating the growth optimal portfolio
- Polynomial diffusion models for life insurance liabilities
- A BENCHMARK APPROACH TO FINANCE
- Simulation of diversified portfolios in continuous financial markets
- Equity portfolios generated by functions of ranked market weights
- Asymptotic dynamics and value-at-risk of large diversified portfolios in a jump-diffusion market
- A benchmark approach to portfolio optimization under partial information
- When do jumps matter for portfolio optimization?
- Approximating Large Diversified Portfolios
- A structure for general and specific market risk
- A benchmark approach to risk-minimization under partial information
- Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic
- Evaluating hybrid products: the interplay between financial and insurance markets
- Intraday empirical analysis and modeling of diversified world stock indices
- Pricing of unemployment insurance products with doubly stochastic Markov chains
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
- Real-world pricing for a modified constant elasticity of variance model
- Recovering the real-world density and liquidity premia from option data
- ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
- Local risk-minimization under the benchmark approach
- Pricing of index options under a minimal market model with log-normal scaling
This page was built for publication: Diversified portfolios with jumps in a benchmark framework
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2575440)
