Partial information about contagion risk, self-exciting processes and portfolio optimization
Year of publication: |
2014
|
---|---|
Authors: | Branger, Nicole ; Kraft, Holger ; Meinerding, Christoph |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 39.2014, p. 18-36
|
Subject: | Asset allocation | Contagion | Nonlinear filtering | Hidden state | Self-exciting processes | Theorie | Theory | Portfolio-Management | Portfolio selection | Ansteckungseffekt | Contagion effect |
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