Recommendations
- Optimal portfolios when variances and covariances can jump
- A proposal of portfolio choice for infinitely divisible distributions of asset returns
- Portfolio theory for squared returns correlated across time
- PORTFOLIO THEORY FOR "FAT TAILS"
- Portfolio selection in multidimensional general and partial moment space
Cites work
- Activity signature functions for high-frequency data analysis
- Applied conic finance
- Asset pricing theory for two price economies
- Bid and ask prices as non-linear continuous time G-expectations based on distortions
- Change of time and change of measure
- Coherent measures of risk
- Conic portfolio theory
- Estimating parametric models of probability distributions
- Estimating the degree of activity of jumps in high frequency data
- Financial modeling under non-Gaussian distributions.
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 1245556 (Why is no real title available?)
- scientific article; zbMATH DE number 1742902 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 1795125 (Why is no real title available?)
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- Is Brownian motion necessary to model high-frequency data?
- Lévy Processes and Stochastic Calculus
- Multivariate subordination, self-decomposability and stability
- No Arbitrage and General Semimartingales
- On dynamic spectral risk measures, a limit theorem and optimal portfolio allocation
- Purely discontinuous asset price processes
- SELF-DECOMPOSABILITY AND OPTION PRICING
- The Variance Gamma Process and Option Pricing
- Time changes for Lévy processes
Cited in
(13)- Calibration for weak variance-alpha-gamma processes
- Self-decomposability of weak variance generalised gamma convolutions
- Measure distorted arrival rate risks and their rewards
- Zero covariation returns
- Conic asset pricing and the costs of price fluctuations
- Lower and upper pricing of financial assets
- Necessity of weak subordination for some strongly subordinated Lévy processes
- PORTFOLIO RHO-PRESENTATIVITY
- Exposure valuations and their capital requirements
- Estimating time-varying risk aversion from option prices and realized returns
- Portfolio symmetry and momentum
- A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance
- Risk conscious investment
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