Diversified portfolios with jumps in a benchmark framework
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Publication:2575440
DOI10.1007/S10690-005-4253-8zbMATH Open1075.91022OpenAlexW2046878590MaRDI QIDQ2575440FDOQ2575440
Publication date: 9 December 2005
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10690-005-4253-8
Recommendations
Applications of statistics to economics (62P20) Diffusion processes (60J60) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)
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Cited In (22)
- ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE
- Empirical evidence on Student-\(t\) log-returns of diversified world stock indices
- Intraday empirical analysis and modeling of diversified world stock indices
- A structure for general and specific market risk
- LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC
- Recovering the real-world density and liquidity premia from option data
- Pricing of index options under a minimal market model with log-normal scaling
- A benchmark approach to filtering in finance
- A benchmark approach to portfolio optimization under partial information
- Evaluating Hybrid Products: The Interplay Between Financial and Insurance Markets
- Equity portfolios generated by functions of ranked market weights
- A benchmark approach to risk-minimization under partial information
- Local risk-minimization under the benchmark approach
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- Polynomial diffusion models for life insurance liabilities
- When do jumps matter for portfolio optimization?
- On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
- Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
- Real-World Pricing for a Modified Constant Elasticity of Variance Model
- A BENCHMARK APPROACH TO FINANCE
- Approximating Large Diversified Portfolios
- Pricing of unemployment insurance products with doubly stochastic Markov chains
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