What is the impact of stock market contagion on an investor's portfolio choice?
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Publication:659101
DOI10.1016/j.insmatheco.2009.04.006zbMath1231.91397OpenAlexW1978582285MaRDI QIDQ659101
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
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- How to invest optimally in corporate bonds: a reduced-form approach
- Asset allocation with contagion and explicit bankruptcy procedures
- Asset allocation under multivariate regime switching
- 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
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
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