RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS
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Publication:4563802
DOI10.1017/asb.2017.2zbMath1390.91289OpenAlexW2614061931MaRDI QIDQ4563802
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
financial crisissubordinatorsasset allocationidiosyncratic jumpmultivariate jump-diffusion processsystematic jump
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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