Partial information about contagion risk, self-exciting processes and portfolio optimization
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References listed on IDEAS
- Guidolin, Massimo & Timmermann, Allan, 2007.
"Asset allocation under multivariate regime switching,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 31(11), pages 3503-3544, November.
- Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
- Mark H. A. Davis & Sebastien Lleo, 2009. "Jump-Diffusion Risk-Sensitive Asset Management," Papers 0905.4740, arXiv.org, revised Mar 2010.
- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
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More about this item
KeywordsAsset Allocation; Contagion; Nonlinear Filtering; Hidden State; Selfexciting Processes;
- G01 - Financial Economics - - General - - - Financial Crises
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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