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

DOI10.1016/J.INSMATHECO.2009.04.006zbMATH Open1231.91397OpenAlexW1978582285MaRDI QIDQ659101FDOQ659101

Holger Kraft, Christoph Meinerding, Nicole Branger

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)

Cites Work

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

Cited In (1)

• Partial information about contagion risk, self-exciting processes and portfolio optimization

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