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Dynamic Asset Allocation with Event Risk

Citations

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Cited by:

  1. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
  2. Andrew Lo, 2003. "Innovation at MIT," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 33-38.
  3. Meng-Sung Hsieh, 2016. "Asymmetric Volatility and Dynamic Asset Allocation," Accounting and Finance Research, Sciedu Press, vol. 5(2), pages 126-126, May.
  4. Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1733-1746.
  5. Tim Bollerslev & Viktor Todorov, 2011. "Tails, Fears, and Risk Premia," Journal of Finance, American Finance Association, vol. 66(6), pages 2165-2211, December.
  6. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
  7. Du Du & Heng-fu Zou, 2008. "Intertemporal Portfolio Choice under Multiple Types of Event Risks," CEMA Working Papers 332, China Economics and Management Academy, Central University of Finance and Economics.
  8. Romain Deguest & Lionel Martellini & Vincent Milhau, 2018. "A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems," Management Science, INFORMS, vol. 64(9), pages 4333-4347, September.
  9. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004. "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management ERS-2004-027-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  10. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  11. Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
  12. Patrick Konermann & Christoph Meinerding & Olga Sedova, 2013. "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, John Wiley & Sons, vol. 22(1), pages 36-46, January.
  13. Lin, Yuehao & Lehnert, Thorsten & Wolff, Christian, 2019. "Skewness risk premium: Theory and empirical evidence," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 174-185.
  14. João Guerra & Manuel Guerra & Zachary Polaski, 2019. "Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market," Working Papers REM 2019/74, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  15. Michal Czerwonko & Stylianos Perrakis, 2016. "Portfolio Selection with Transaction Costs and Jump-Diffusion Asset Dynamics I: A Numerical Solution," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-23, December.
  16. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009. "What is the impact of stock market contagion on an investor's portfolio choice?," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 94-112, August.
  17. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  18. Chen, Ke & Vitiello, Luiz & Hyde, Stuart & Poon, Ser-Huang, 2018. "The reality of stock market jumps diversification," Journal of International Money and Finance, Elsevier, vol. 86(C), pages 171-188.
  19. Figueroa-López, José E. & Mancini, Cecilia, 2019. "Optimum thresholding using mean and conditional mean squared error," Journal of Econometrics, Elsevier, vol. 208(1), pages 179-210.
  20. repec:ipg:wpaper:2014-565 is not listed on IDEAS
  21. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
  22. Hong, Yi & Jin, Xing, 2018. "Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix," European Journal of Operational Research, Elsevier, vol. 265(1), pages 389-398.
  23. Hanousek Jan & Kočenda Evžen & Novotný Jan, 2012. "The identification of price jumps," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 53-77, January.
  24. Muck, Matthias, 2010. "Trading strategies with partial access to the derivatives market," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1288-1298, June.
  25. Piccotti, Louis R., 2018. "Jumps, cojumps, and efficiency in the spot foreign exchange market," Journal of Banking & Finance, Elsevier, vol. 87(C), pages 49-67.
  26. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
  27. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
  28. Kraft, Holger & Steffensen, Mogens, 2009. "Asset allocation with contagion and explicit bankruptcy procedures," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 147-167, January.
  29. Sami Attaoui & Vincent Lacoste, 2013. "A scenario-based description of optimal American capital guaranteed strategies," Finance, Presses universitaires de Grenoble, vol. 34(2), pages 65-119.
  30. Nunes, Cláudia & Pimentel, Rita, 2017. "Analytical solution for an investment problem under uncertainties with shocks," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1054-1063.
  31. Frank Thomas Seifried, 2010. "Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach," Mathematics of Operations Research, INFORMS, vol. 35(3), pages 559-579, August.
  32. Davide Raggi & Silvano Bordignon, 2011. "Volatility, Jumps, and Predictability of Returns: A Sequential Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 669-695.
  33. repec:hal:journl:peer-00732538 is not listed on IDEAS
  34. Mu, Congming & Yan, Jingzhou & Liang, Zhian, 2021. "Optimal risk taking under high-water mark contract with jump risk," Finance Research Letters, Elsevier, vol. 38(C).
  35. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
  36. Yi-Hao Lai & Yi-Chiuan Wang & Wei-Shih Chung, 2018. "Initial Jump and Recovering Jump in the S&P 500 Index Returns: A Jump-Recovering-Switching Approach," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 14(1), pages 51-66, February.
  37. Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.
  38. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  39. LUPU, Radu & MATEESCU, Alexandra, 2016. "Systemic Risk And Cojumps In High Frequency Data," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 20(4), pages 6-16.
  40. Liu, Guo & Jin, Zhuo & Li, Shuanming, 2021. "Household Lifetime Strategies under a Self-Contagious Market," European Journal of Operational Research, Elsevier, vol. 288(3), pages 935-952.
  41. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
  42. Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
  43. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
  44. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
  45. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "Partial information about contagion risk, self-exciting processes and portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 18-36.
  46. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
  47. Liu, Wenwen & Zhang, Chang & Qiao, Gaoxiu & Xu, Lei, 2022. "Impact of network investor sentiment and news arrival on jumps," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
  48. Wei, Pengyu & Yang, Charles & Zhuang, Yi, 2023. "Robust consumption and portfolio choice with derivatives trading," European Journal of Operational Research, Elsevier, vol. 304(2), pages 832-850.
  49. Anna Battauz & Alessandro Sbuelz, 2018. "Non†myopic portfolio choice with unpredictable returns: The jump†to†default case," European Financial Management, European Financial Management Association, vol. 24(2), pages 192-208, March.
  50. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  51. Immacolata Oliva & Ilaria Stefani, 2023. "Co-jumps and recursive preferences in portfolio choices," Annals of Finance, Springer, vol. 19(3), pages 291-324, September.
  52. Kraft, Holger & Weiss, Farina, 2023. "Pandemic portfolio choice," European Journal of Operational Research, Elsevier, vol. 305(1), pages 451-462.
  53. Oliva, I. & Renò, R., 2018. "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 242-256.
  54. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  55. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, Department of Economics and Business Economics, Aarhus University.
  56. Simon H. Yen & Jai Jen Wang, 2007. "General Equilibrium Stock Index Futures Pricing Allowing for Event Risk," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 103-119, August.
  57. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
  58. Amaro de Matos, João & Silva, Nuno, 2014. "Consuming durable goods when stock markets jump: A strategic asset allocation approach," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 86-104.
  59. Liu, Jun & Peleg, Ehud & Subrahmanyam, Avanidhar, 2004. "The Value of Private Information," University of California at Los Angeles, Anderson Graduate School of Management qt71t9z3w3, Anderson Graduate School of Management, UCLA.
  60. Arif, Imtiaz & Suleman, Tahir, 2014. "Terrorism and Stock Market Linkages: An Empirical Study from Pakistan," MPRA Paper 58918, University Library of Munich, Germany.
  61. Marius Ascheberg & Nicole Branger & Holger Kraft & Frank Thomas Seifried, 2016. "When do jumps matter for portfolio optimization?," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1297-1311, August.
  62. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
  63. Thai Nguyen, 2016. "Optimal investment and consumption with downside risk constraint in jump-diffusion models," Papers 1604.05584, arXiv.org.
  64. repec:dau:papers:123456789/5954 is not listed on IDEAS
  65. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
  66. Liu, Jing & Ma, Feng & Yang, Ke & Zhang, Yaojie, 2018. "Forecasting the oil futures price volatility: Large jumps and small jumps," Energy Economics, Elsevier, vol. 72(C), pages 321-330.
  67. Larsen, Linda Sandris, 2010. "Optimal investment strategies in an international economy with stochastic interest rates," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 145-165, January.
  68. Gomes, Francisco J., 2007. "Exploiting short-run predictability," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1427-1440, May.
  69. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31, Puey Ungphakorn Institute for Economic Research.
  70. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2007. "Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1669-1706, 2007 12.
  71. Xing Jin & Dan Luo & Xudong Zeng, 2021. "Tail Risk and Robust Portfolio Decisions," Management Science, INFORMS, vol. 67(5), pages 3254-3275, May.
  72. Martin Kipp & Christian Koziol, 2022. "Tail risk management and the skewness premium," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 534-546, October.
  73. Ascheberg, Marius & Branger, Nicole & Kraft, Holger, 2013. "When do jumps matter for portfolio optimization?," SAFE Working Paper Series 16, Leibniz Institute for Financial Research SAFE.
  74. Chae, Joon & Lee, Eun Jung, 2018. "Distribution uncertainty and expected stock returns," Finance Research Letters, Elsevier, vol. 25(C), pages 55-61.
  75. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012. "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, vol. 29(3), pages 684-690.
  76. Bayraktar, Erhan & Young, Virginia R., 2009. "Minimizing the lifetime shortfall or shortfall at death," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 447-458, June.
  77. Chen, An-Sing & Leung, Mark T., 2005. "Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 2947-2969, December.
  78. Ben Abdelaziz, Fouad & Chibane, Messaoud, 2023. "Portfolio optimization in the presence of tail correlation," Economic Modelling, Elsevier, vol. 122(C).
  79. Jin-Ray Lu & Chih-Ming Chan & Wen-Shen Li, 2011. "Portfolio Selections with Innate Learning Ability," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 201-217, December.
  80. Liu, Qingfu & Tu, Anthony H., 2012. "Jump spillovers in energy futures markets: Implications for diversification benefits," Energy Economics, Elsevier, vol. 34(5), pages 1447-1464.
  81. Dieckmann, Stephan & Gallmeyer, Michael, 2005. "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1547-1576, September.
  82. Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael, 2021. "Optimal control of investment, premium and deductible for a non-life insurance company," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 384-405.
  83. Bollerslev, Tim & Li, Sophia Zhengzi & Todorov, Viktor, 2016. "Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 120(3), pages 464-490.
  84. Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
  85. Bredin, Don & Conlon, Thomas & Potì, Valerio, 2017. "The price of shelter - Downside risk reduction with precious metals," International Review of Financial Analysis, Elsevier, vol. 49(C), pages 48-58.
  86. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  87. Branger, Nicole & Larsen, Linda Sandris, 2013. "Robust portfolio choice with uncertainty about jump and diffusion risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5036-5047.
  88. Chenxu Li & O. Scaillet & Yiwen Shen, 2020. "Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets," Swiss Finance Institute Research Paper Series 20-22, Swiss Finance Institute.
  89. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  90. Aït-Sahalia, Yacine & Matthys, Felix, 2019. "Robust consumption and portfolio policies when asset prices can jump," Journal of Economic Theory, Elsevier, vol. 179(C), pages 1-56.
  91. Le Courtois, Olivier & Menoncin, Francesco, 2015. "Portfolio optimisation with jumps: Illustration with a pension accumulation scheme," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 127-137.
  92. Imtiaz Arif & Tahir Suleman, 2017. "Terrorism and Stock Market Linkages: An Empirical Study from a Front-line State," Global Business Review, International Management Institute, vol. 18(2), pages 365-378, April.
  93. Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 34(2), pages 141-168, November.
  94. Ngwira, Bernard & Gerrard, Russell, 2007. "Stochastic pension fund control in the presence of Poisson jumps," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 283-292, March.
  95. Daglish, Toby, 2008. "The Effect of Asset Price Jumps on Consumption and Investment Decisions," Working Paper Series 19107, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  96. Luca Benzoni & Pierre Collin‐Dufresne & Robert S. Goldstein, 2007. "Portfolio Choice over the Life‐Cycle when the Stock and Labor Markets Are Cointegrated," Journal of Finance, American Finance Association, vol. 62(5), pages 2123-2167, October.
  97. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
  98. repec:wyi:journl:002108 is not listed on IDEAS
  99. Asgharian, Hossein & Nossman, Marcus, 2011. "Risk contagion among international stock markets," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 22-38, February.
  100. A Chunxiang & Shao Yi, 2018. "Worst-Case Investment Strategy with Delay," Journal of Systems Science and Information, De Gruyter, vol. 6(1), pages 35-57, February.
  101. Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
  102. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  103. Buckley, Winston & Long, Hongwei & Perera, Sandun, 2014. "A jump model for fads in asset prices under asymmetric information," European Journal of Operational Research, Elsevier, vol. 236(1), pages 200-208.
  104. Nasini, Stefano & Labbé, Martine & Brotcorne, Luce, 2022. "Multi-market portfolio optimization with conditional value at risk," European Journal of Operational Research, Elsevier, vol. 300(1), pages 350-365.
  105. Zunera Shaukat & Ahmad Shahzad, 2019. "Impact of Portfolio Strategies on Portfolio Performance and Risk," International Journal of Business Administration, International Journal of Business Administration, Sciedu Press, vol. 10(1), pages 73-86, January.
  106. Wujun Lv & Tao Pang & Xiaobao Xia & Jingzhou Yan, 2023. "Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
  107. De Giorgi, Enrico, 2008. "Evolutionary portfolio selection with liquidity shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 32(4), pages 1088-1119, April.
  108. Lu, Jin-Ray & Hwang, Chih-Chiang & Lin, Chien-Yi, 2016. "Do shareholders appreciate capital investment policies of corporations?," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 344-353.
  109. Sensoy, Ahmet & Serdengeçti, Süleyman, 2020. "Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market," International Review of Financial Analysis, Elsevier, vol. 68(C).
  110. Patrick Leoni, 2007. "Monte-Carlo Estimations of the Downside Risk of Derivative Portfolios," Economics Department Working Paper Series n1760607, Department of Economics, National University of Ireland - Maynooth.
  111. Anupam Dutta & Elie Bouri & David Roubaud, 2021. "Modelling the volatility of crude oil returns: Jumps and volatility forecasts," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 889-897, January.
  112. Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014. "Price jumps on European stock markets," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
  113. Ahmad Telfah, "undated". "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center.
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  115. Lu, Jin-Ray & Hwang, Chih-Chiang & Liu, Min-Luan & Lin, Chien-Yi, 2016. "An incentive problem of risk balancing in portfolio choices," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 192-200.
  116. Zhou, Chunyang & Wu, Chongfeng & Wang, Yudong, 2019. "Dynamic portfolio allocation with time-varying jump risk," Journal of Empirical Finance, Elsevier, vol. 50(C), pages 113-124.
  117. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
  118. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  119. Julien Chevallier & Stéphane Goutte, 2017. "Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching," Annals of Operations Research, Springer, vol. 255(1), pages 169-197, August.
  120. Laura Pasin & Tiziano Vargiolu, 2010. "Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(1‐2), pages 65-90, February.
  121. Johnson, James A. & Medeiros, Marcelo C. & Paye, Bradley S., 2022. "Jumps in stock prices: New insights from old data," Journal of Financial Markets, Elsevier, vol. 60(C).
  122. Wang, Yiming & Tong, Hanfei, 2008. "Modeling and estimating the jump risk of exchange rates: Applications to RMB," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(26), pages 6575-6583.
  123. Stylianos Perrakis, 2022. "From innovation to obfuscation: continuous time finance fifty years later," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(3), pages 369-401, September.
  124. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena 534, Department of Economics, University of Siena.
  125. Hong Liu & Mark Loewenstein, 2013. "Market Crashes, Correlated Illiquidity, and Portfolio Choice," Management Science, INFORMS, vol. 59(3), pages 715-732, October.
  126. Buckley, Winston S. & Long, Hongwei, 2015. "A discontinuous mispricing model under asymmetric information," European Journal of Operational Research, Elsevier, vol. 243(3), pages 944-955.
  127. Robert Jarrow, 2018. "An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(02), pages 1-33, June.
  128. Ma, Yong & Jiang, Hao & Xiao, Weilin, 2021. "Tax evasion, audits with memory, and portfolio choice," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 896-909.
  129. Rytchkov, Oleg, 2016. "Time-Varying Margin Requirements and Optimal Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(2), pages 655-683, April.
  130. Kshatriya, Saranya & Prasanna, Krishna, 2021. "Jump Interdependencies: Stochastic linkages among international stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  131. Li, Chenxu & Chen, Dachuan, 2016. "Estimating jump–diffusions using closed-form likelihood expansions," Journal of Econometrics, Elsevier, vol. 195(1), pages 51-70.
  132. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "Robo-advising: a dynamic mean-variance approach," Digital Finance, Springer, vol. 3(2), pages 81-97, June.
  133. Yacine Aït-Sahalia & Thomas Robert Hurd, 2016. "Portfolio Choice in Markets with Contagion," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 1-28.
  134. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
  135. Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
  136. Xing Jin & Xudong Zeng, 2018. "Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach," Mathematics of Operations Research, INFORMS, vol. 43(2), pages 347-376, May.
  137. Alexandre Hocquard & Nicolas Papageorgiou & Bruno Remillard, 2015. "The payoff distribution model: an application to dynamic portfolio insurance," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 299-312, February.
  138. Martins, António Miguel & Correia, Pedro & Gouveia, Ricardo, 2023. "Russia-Ukraine conflict: The effect on European banks’ stock market returns," Journal of Multinational Financial Management, Elsevier, vol. 67(C).
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