Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models

DOI10.1017/ASB.2017.2MaRDI QIDQ4563802zbMATH OpenOpenAlexFDO

Authors Chou-Wen Wang, Hong-Chih Huang

Publication date 4 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2017.2

zbMATH Keywords

asset allocationfinancial crisisidiosyncratic jumpmultivariate jump-diffusion processsubordinatorssystematic jump

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Dynamic asset allocation for varied financial markets under regime switching framework
• Optimal investment risks and debt management with backup security in a financial crisis
• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
• Robust conditional expectation reward-risk performance measures
• Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach

Cites work

• A multivariate jump-driven financial asset model
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• An optimal investment strategy for a stream of liabilities generated by a step process in a financial market driven by a Lévy process
• Asset and liability management under a continuous-time mean-variance optimization framework
• Asymptotic and numerical analysis of the optimal investment strategy for an insurer
• Dynamic asset liability management with tolerance for limited shortfalls
• Financial Modelling with Jump Processes
• Management of a pension fund under mortality and financial risks
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Multivariate subordination, self-decomposability and stability
• Multivariate time changes for Lévy asset models: characterization and calibration
• On the tail mean-variance optimal portfolio selection
• Optimal investment for an insurer: the martingale approach
• Optimal investment strategies and risk measures in defined contribution pension schemes.
• Optimal investment strategies in the presence of a minimum guarantee.
• Optimal investment strategy for defined contribution pension schemes
• Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
• Optimal pension management in a stochastic framework.
• Optimal portfolios for DC pension plans under a CEV model
• Option pricing when underlying stock returns are discontinuous
• Pensionmetrics 2: Stochastic pension plan design during the distribution phase.
• Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Stochastic optimal control of annuity contracts.
• Time changes for Lévy processes

Cited in

(3)

• Optimal investment risks and debt management with backup security in a financial crisis
• Optimal and coherent economic-capital structures: evidence from long and short-sales trading positions under illiquid market perspectives
• Scientific methodology to model liquidity risk in UCITS funds with an asset liability approach: a global response to financial and prudential requirements

This page was built for publication: Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4563802)