We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

Even though a consensus has been reached a long time ago that the interest rate is a stochastic process, most of the existing works on dynamic mean-downside risk portfolio selection still focus on a deterministic interest rate. This work studies a dynamic mean-downside risk portfolio selection...