CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION

DOI10.1142/S0219024906003706zbMath1184.91194MaRDI QIDQ5483507

Olaf Menkens

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

implied volatilityoptimal portfoliosworst-case scenariochanging market coefficientscrash horizoncrash modeling

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT ⋮ Worst-case optimal investment with a random number of crashes ⋮ EUROPEAN OPTION PRICING WITH LIQUIDITY SHOCKS ⋮ LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS

Cites Work

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• Optimum portfolio diversification in a general continuous-time model
• Worst-case scenario portfolio optimization: a new stochastic control approach
• Hyperbolic distributions in finance
• Worst-case scenario investment for insurers
• OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous

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