What is the impact of stock market contagion on an investor's portfolio choice?
Year of publication: |
2009
|
---|---|
Authors: | Branger, Nicole ; Kraft, Holger ; Meinerding, Christoph |
Publisher: |
Frankfurt a. M. : Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften |
Subject: | Asset Allocation | Jumps | Contagion | Model Risk |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 751719153 [GVK] hdl:10419/76793 [Handle] |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
-
What is the impact of stock market contagion on an investor's portfolio choice?
Branger, Nicole, (2009)
-
Building a Consistent Pricing Model from Observed Option Prices
Laurent, Jean-Paul, (1998)
-
Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions
Carr, Peter, (2017)
- More ...
-
Asset pricing under uncertainty about shock propagation
Branger, Nicole, (2013)
-
Partial information about contagion risk, self-exciting processes and portfolio optimization
Branger, Nicole, (2013)
-
The dynamics of crises and the equity premium
Branger, Nicole, (2014)
- More ...