Search Results - "Jump-diffusive processes"

Dynamic Asset Allocation with Default and Systemic Risks

Authors: Sbuelz A.

Source: International Series in Operations Research & Management Science ISBN: 9783319613185

Subject Terms: Investment opportunity set, Arbitrage-free markets, Default risk, Investment-horizon effects, Jump-diffusive processes, Risk premia, Strategic asset allocation, Systemic risk, Software, Computer Science Applications1707 Computer Vision and Pattern Recognition, Strategy and Management1409 Tourism, Leisure and Hospitality Management, Management Science and Operations Research, Applied Mathematics, 0502 economics and business, 05 social sciences

Access URL: https://publicatt.unicatt.it/handle/10807/169110
https://link.springer.com/chapter/10.1007/978-3-319-61320-8_11
https://core.ac.uk/display/132546950
https://rd.springer.com/chapter/10.1007/978-3-319-61320-8_11
https://hdl.handle.net/10807/169300
https://doi.org/10.1007/978-3-319-61320-8_11
https://link.springer.com/chapter/10.1007/978-3-319-61320-8_11

On Jump-Diffusive Driving Noise Sources: Some Explicit Results and Applications

Authors: Hongler, Max-Olivier Filliger, Roger

Subject Terms: Markov jump-diffusive processes - Meanfield approach to multi-agents systems - Flocking beahvior of swarms

Relation: https://infoscience.epfl.ch/record/227404/files/HON_FILL_2017.pdf; Methodoly and Computing in Applied Probability; https://infoscience.epfl.ch/handle/20.500.14299/136480; WOS:000484932800007

Availability: https://doi.org/10.1007/s11009-017-9566-3
https://infoscience.epfl.ch/handle/20.500.14299/136480
https://hdl.handle.net/20.500.14299/136480

Dynamic Asset Allocation with Default and Systemic Risks

Authors: Sbuelz, A Consigli, G Stefani, S et al.

Index Terms: Arbitrage-free markets, Default risk, Investment opportunity set, Investment-horizon effects, Jump-diffusive processes, Risk premia, Strategic asset allocation, Systemic risk, Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE, Settore SECS-P/11 - ECONOMIA DEGLI INTERMEDIARI FINANZIARI, Settore SECS-P/01 - ECONOMIA POLITICA, info:eu-repo/semantics/bookPart

URL: http://hdl.handle.net/10807/169300
https://link.springer.com/chapter/10.1007/978-3-319-61320-8_11
info:eu-repo/semantics/altIdentifier/isbn/978-3-319-61318-5
ispartofbook:Handbook of Recent Advances in Commodity and Financial Modeling. International Series in Operations Research & Management Science, vol 257.
volume:257
firstpage:241
lastpage:250
numberofpages:10
serie:INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE
alleditors:Consigli, G; Stefani, S; Zambruno, G

Non-Myopic Portfolio Choice with Unpredictable Returns: The Jump-to-Default Case

Authors: SBUELZ, ALESSANDRO BATTAUZ, ANNA

Index Terms: Strategic asset allocation, intertemporal portfolio choice, time-varying hedging demand, investment horizon, investment opportunity set, jump-to-default risk, arbitrage-free markets, risk premia, jump-diffusive processes, return predictability, irreversible regime change, portfolio advice., SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie, Financial markets, asset prices, international finance, other

URL: http://www.researchgate.net/publication/283078679
http://hdl.handle.net/10807/68184
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2015-10-22