Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach-Reference-Cited by-同舟云学术

Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach

Published:2018-05 Issue:2 Volume:43 Page:347-376
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

Author:

Jin Xing¹^ORCID,Luo Dan²,Zeng Xudong²

Affiliation:

1. Warwick Business School, University of Warwick, Coventry CV4 7AL, UK

2. School of Finance, Shanghai University of Finance and Economics, Shanghai 200433, China; and Shanghai Key Laboratory of Financial Information Technology, Shanghai 200433, China

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Link

https://pubsonline.informs.org/doi/pdf/10.1287/moor.2017.0854

Reference33 articles.

1. Portfolio choice with jumps: A closed-form solution

2. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection

3. Dynamic Asset Allocation for Stocks, Bonds, and Cash*

4. On martingale measures when asset returns have unpredictable jumps

5. On the Existence of Minimax Martingale Measures

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