What is the impact of stock market contagion on an investor's portfolio choice?

DOI10.1016/J.INSMATHECO.2009.04.006MaRDI QIDQ659101zbMATH OpenOpenAlexFDO

Authors Nicole Branger, Holger Kraft, Christoph Meinerding

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hebis:30-62787

zbMATH Keywords

jumpsasset allocationcontagionmodel risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• A general version of the fundamental theorem of asset pricing
• Asset allocation under multivariate regime switching
• Asset allocation with contagion and explicit bankruptcy procedures
• How to invest optimally in corporate bonds: a reduced-form approach
• Martingales and arbitrage in multiperiod securities markets
• Optimum consumption and portfolio rules in a continuous-time model
• The numerical solution of differential-algebraic systems by Runge-Kutta methods

Cited in

(2)

• Partial information about contagion risk, self-exciting processes and portfolio optimization
• Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets

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