Optimum portfolio diversification in a general continuous-time model
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Publication:794344
DOI10.1016/0304-4149(84)90163-7zbMATH Open0541.60057OpenAlexW2050590804MaRDI QIDQ794344FDOQ794344
Authors: Knut Kristian Aase 
Publication date: 1984
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(84)90163-7
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Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Optimal stochastic control (93E20)
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Cited In (38)
- Ruin problems and myopic portfolio optimization in continuous trading
- Remarks on the transformation of Ito's formula for jump-diffusion processes
- Diversified Portfolios in Continuous Time *
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Lifetime consumption and investment for worst-case crash scenarios
- Optimal portfolios for logarithmic utility.
- Mean-variance portfolio selection in presence of infrequently traded stocks
- The equilibrium allocation of diffusive and jump risks with heterogeneous agents
- Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
- Stability for multidimensional jump-diffusion processes
- ``Itō's lemma and the Bellman equation for Poisson processes: An applied view
- Household lifetime strategies under a self-contagious market
- A General Benchmark Model for Stochastic Jump Sizes
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- Portfolio choice with jumps: a closed-form solution
- Optimal consumption/investment problem with light stocks: a mixed continuous-discrete time approach
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
- Optimal investment in markets with over and under-reaction to information
- Portfolio diversification with Markovian prices
- Admissible investment strategies in continuous trading
- A concise characterization of optimal consumption with logarithmic preferences
- Asset allocation under threshold autoregressive models
- OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
- A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
- Robust consumption and portfolio policies when asset prices can jump
- Accumulated claims and collective risk in insurance: Higher order asymptotic approximations
- Worst-case portfolio optimization with proportional transaction costs
- On optimal portfolio diversification with respect to extreme risks
- CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION
- Contingent claims valuation when the security price is a combination of an Itō process and a random point process
- Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets
- GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS
- Optimal portfolio and consumption for a Markovian regime-switching jump-diffusion process
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- Portfolio selection: an alternative approach
- Naive versus optimal diversification: tail risk and performance
- Portfolio selection: a review
- Partial information about contagion risk, self-exciting processes and portfolio optimization
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