Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
From MaRDI portal
(Redirected from Publication:6549608)
Recommendations
- scientific article; zbMATH DE number 6296770
- Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model
- Jump-diffusion risk-sensitive asset management I: Diffusion factor model
- Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach
- Dynamic asset allocation with loss aversion in a jump-diffusion model
Cites work
- A large deviations approach to optimal long term investment
- Applied stochastic control of jump diffusions.
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift
- Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
- Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
- Filtering and portfolio optimization with stochastic unobserved drift in asset returns
- High-frequency jump tests: which test should we use?
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- scientific article; zbMATH DE number 3637702 (Why is no real title available?)
- scientific article; zbMATH DE number 6296770 (Why is no real title available?)
- Innovative and additive outlier robust Kalman filtering with a robust particle filter
- Jump-diffusion risk-sensitive asset management I: Diffusion factor model
- Jumps in equilibrium prices and market microstructure noise
- Measuring news sentiment
- Non-parametric threshold estimation for models with stochastic diffusion coefficient and jumps
- Nonlinear filtering for jump diffusion observations
- Optimal investment under partial information
- Optimum consumption and portfolio rules in a continuous-time model
- Perturbation analysis for investment portfolios under partial information with expert opinions
- Portfolio optimization under partial information with expert opinions
- Risk-constrained dynamic active portfolio management
- Risk-sensitive dynamic asset management
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Risk-sensitive portfolio optimization on infinite time horizon
- Risk‐sensitive benchmarked asset management with expert forecasts
- Robust Kalman tracking and smoothing with propagating and non-propagating outliers
- Robust recursive estimation in the presence of heavy-tailed observation noise
- Robust Variational-Based Kalman Filter for Outlier Rejection With Correlated Measurements
- Stochastic differential equations. An introduction with applications.
- Strategic asset allocation
- Testing for jumps in a discretely observed process
- The Role of Learning in Dynamic Portfolio Decisions *
- The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness
Cited in
(3)
This page was built for publication: Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6549608)