arXiv: Portfolio Management最新文献_第2页

Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift 高斯漂移下多元股票收益的专家意见与对数效用最大化

arXiv: Portfolio Management Pub Date : 2016-01-29 DOI: 10.1142/S0219024917500224

Jörn Sass, Dorothee Westphal, R. Wunderlich

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引用次数: 15

General Smooth Solutions to the HJB PDE: Applications to Finance HJB PDE的一般平滑解决方案:金融应用

arXiv: Portfolio Management Pub Date : 2015-10-30 DOI: 10.2139/SSRN.2684229

Moawia Alghalith

引用次数: 0

A white noise approach to insider trading 一种针对内幕交易的白噪音方法

arXiv: Portfolio Management Pub Date : 2015-08-25 DOI: 10.1142/9789813220942_0006

B. Oksendal, E. Røse

引用次数: 11

Risk diversification: a study of persistence with a filtered correlation-network approach 风险分散:基于过滤相关网络方法的持久性研究

arXiv: Portfolio Management Pub Date : 2014-10-21 DOI: 10.21314/JNTF.2015.005

N. Musmeci, T. Aste, T. Matteo

{"title":"Risk diversification: a study of persistence with a filtered correlation-network approach","authors":"N. Musmeci, T. Aste, T. Matteo","doi":"10.21314/JNTF.2015.005","DOIUrl":"https://doi.org/10.21314/JNTF.2015.005","url":null,"abstract":"The evolution with time of the correlation structure of equity returns is studied by means of a filtered network approach investigating persistences and recurrences and their implications for risk diversification strategies. We build dynamically Planar Maximally Filtered Graphs from the correlation structure over a rolling window and we study the persistence of the associated Directed Bubble Hierarchical Tree (DBHT) clustering structure. We observe that the DBHT clustering structure is quite stable during the early 2000' becoming gradually less persistent before the unfolding of the 2007-2008 crisis. The correlation structure eventually recovers persistence in the aftermath of the crisis settling up a new phase, distinct from the pre-cysts structure, where the market structure is less related to industrial sector activity. Notably, we observe that - presently - the correlation structure is loosing again persistence indicating the building-up of another, different, phase. Such dynamical changes in persistence and their occurrence at the unfolding of financial crises rises concerns about the effectiveness of correlation-based portfolio management tools for risk diversification.","PeriodicalId":286833,"journal":{"name":"arXiv: Portfolio Management","volume":"61 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125815487","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 47

Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs 具有资本注入和交易成本比例的跳跃-扩散模型的最优股利问题

arXiv: Portfolio Management Pub Date : 2014-09-01 DOI: 10.3934/JIMO.2015.11.1247

C. Yin, K. Yuen

引用次数: 72

Long time asymptotics for optimal investment 最优投资的长时间渐近性

arXiv: Portfolio Management Pub Date : 2014-08-27 DOI: 10.1007/978-3-319-11605-1_18

H. Pham

引用次数: 3

Optimal Consumption under Habit Formation In Markets with Transaction Costs and Random Endowments 具有交易成本和随机禀赋的市场中习惯形成下的最优消费

arXiv: Portfolio Management Pub Date : 2014-08-06 DOI: 10.1214/16-AAP1222

Xiang Yu

引用次数: 17

Two centuries of trend following 两个世纪的趋势

arXiv: Portfolio Management Pub Date : 2014-04-12 DOI: 10.21314/JOIS.2014.043

Y. Lempérière, C. Deremble, P. Seager, M. Potters, J. Bouchaud

引用次数: 77

Merton portfolio problem with one indivisible asset 一个不可分割资产的默顿投资组合问题

arXiv: Portfolio Management Pub Date : 2014-03-13 DOI: 10.4467/20843828AM.15.005.3909

Jakub Trybula

引用次数: 0

Asset Allocation under the Basel Accord Risk Measures 巴塞尔协议风险措施下的资产配置

arXiv: Portfolio Management Pub Date : 2013-08-01 DOI: 10.2139/SSRN.2202845

Zaiwen Wen, X. Peng, Xin Liu, Xiaoling Sun, Xiaodi Bai

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引用次数: 27