The Optimal Investment Strategy of Urban Households Based on the Jump Diffusion Model

2016 ◽  
Author(s):  
Wang Aiyin ◽  
Pan Dong
Keyword(s):  
Diffusion Model ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Investment Strategy ◽  
Urban Households ◽  
Optimal Investment Strategy ◽  
Jump Diffusion Model

Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model

2020 ◽  
Vol 11 (3) ◽  
pp. 750-787
Author(s):  
Karel Janeček ◽  
Zheng Li ◽  
Mihai Sîrbu
Keyword(s):  
Diffusion Model ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Jump Diffusion Model

RISK MANAGEMENT OF FINANCIAL CRISES: AN OPTIMAL INVESTMENT STRATEGY WITH MULTIVARIATE JUMP-DIFFUSION MODELS

2017 ◽  
Vol 47 (2) ◽  
pp. 501-525 ◽  
Author(s):  
Chou-Wen Wang ◽  
Hong-Chih Huang
Keyword(s):  
Risk Management ◽  
Financial Crisis ◽  
Asset Allocation ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Investment Strategy ◽  
Dependence Structure ◽  
Allocation Strategy ◽  
Investment Performance ◽  
Optimal Investment Strategy

AbstractThis paper provides an optimal asset allocation strategy to enhance risk management performance in the face of a financial crisis; this strategy entails constructing a good asset model – a multivariate jump-diffusion (MJD) model which includes idiosyncratic and systematic jumps simultaneously – and choosing suitable asset allocations and objective functions for fund management. This study also provides the dependence structure for the MJD model. The empirical implementation demonstrates that the proposed MJD model provides more detailed information about the financial crisis, allowing fund managers to determine an appropriate asset allocation strategy that enhances investment performance during the crisis.

Optimal investment and reinsurance problem with jump-diffusion model

2019 ◽  
pp. 1-17
Author(s):  
Mengmeng Guo ◽  
Xiu Kan ◽  
Huisheng Shu
Keyword(s):  
Diffusion Model ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Jump Diffusion Model

The Pricing of Vulnerable Options Under Jump-Diffusion Model

2013 ◽  
Vol 15 (3) ◽  
pp. 204
Author(s):  
Chixiang CHEN ◽  
Biyi SHEN ◽  
Guangyu YANG
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Jump Diffusion Model ◽  
Vulnerable Options

MCMC estimation of a multi-factor jump diffusion model for power prices

2008 ◽  
Vol 1 (4) ◽  
pp. 65-90 ◽  
Author(s):  
Rikard Green ◽  
Marcus Nossman
Keyword(s):  
Diffusion Model ◽  
Jump Diffusion ◽  
Mcmc Estimation ◽  
Jump Diffusion Model
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