Risk management of financial crises : an optimal investment strategy with multivariate jump-diffusion models
By Chou-Wen Wang and Hong-Chih Huang
| Year of publication: |
2017
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|---|---|
| Authors: | Wang, Chou-Wen ; Huang, Hong-Chih |
| Published in: |
Astin bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge University Press, ISSN 0515-0361, ZDB-ID 419201-1. - Vol. 47.2017, 2, p. 501-525
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| Subject: | Financial crisis | asset allocation | subordinators | idiosyncratic jump | systematic jump | multivariate jump-diffusion process | Portfolio-Management | Portfolio selection | Finanzkrise | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2017.2 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011729607