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 allocationsubordinatorsfinancial crisisidiosyncratic jumpmultivariate jump-diffusion processsystematic jump

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(3)

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

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