Asymptotic Dynamics and Value-at-Risk of Large Diversified Portfolios in a Jump-Diffusion Market
This paper studies the modelling of large diversified portfolios in a financial market with jump-diffusion risks. The portfolios considered include three categories: equal money-weighted portfolios, risk-minimizing portfolios and market indices. Reduced-form dynamics driven jointly by one Brownian m...
Saved in:
Main Authors: | , , |
---|---|
Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2004
|
Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2630 https://doi.org/10.1088/1469-7688/4/2/002 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Institution: | Singapore Management University |
Language: | English |