May 1, 2023 · The aim of this paper is to optimize portfolio selection for a constant mix strategy investment problem with fixed investing horizon using comonotonic ...
May 1, 2023 · The aim of this paper is to optimize portfolio selection for a constant mix strategy investment problem with fixed investing horizon using comonotonic ...
Portfolio selection in a periodic investment of securities is modeled using a multivariate Merton model with dependent jumps and an optimization framework ...
May 1, 2023 · Recommendations · Comonotonic approximations of risk measures for variable annuity guaranteed benefits with dynamic policyholder behavior.
A comonotonic approximation to optimal terminal wealth under a ...
www.researchgate.net › Home › Jump
In this paper, we investigate the pricing of a path-dependent option with default risk under the Hawkes jump diffusion process. For each asset, its dynamics are ...
To optimize a portfolio we maximize the terminal wealth process by controlling its risk measure C V a R C V a R CVaR and rather than applying ...
The optimization framework is designed to maximize expected terminal wealth when portfolio risk is measured by the Condition-Value-at-Risk ( ).
A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk. Appl. Math. Comput. 444: 127808 (2023).
A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk · Author Picture Bahareh Afhami. Department ...
The optimization framework is designed to maximize expected terminal wealth ... approximation of the terminal wealth under the risk measure of CVaR. We ...