Risk management of financial crises: an optimal investment strategy with multivariate jump-diffusion models
DOI10.1017/ASB.2017.2zbMATH Open1390.91289OpenAlexW2614061931MaRDI QIDQ4563802FDOQ4563802
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
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asset allocationsubordinatorsfinancial crisisidiosyncratic jumpmultivariate jump-diffusion processsystematic jump
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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