Risk management of financial crises : an optimal investment strategy with miltivariate jump-diffusion models

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      <subfield code="a">Wang, Chou-Wen</subfield>
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      <subfield code="a">Risk management of financial crises</subfield>
      <subfield code="b">: an optimal investment strategy with miltivariate jump-diffusion models</subfield>
      <subfield code="c">Chou-Wen Wang, Hong-Chih Huang</subfield>
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      <subfield code="a">This 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 proposedMJDmodel 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.</subfield>
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      <subfield code="a">Crisis financiera</subfield>
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      <subfield code="a">Activos financieros</subfield>
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      <subfield code="d">Belgium : ASTIN and AFIR Sections of the International Actuarial Association</subfield>
      <subfield code="x">0515-0361</subfield>
      <subfield code="g">01/05/2017 Volumen 47 Número 2 - mayo 2017 , p. 501-525</subfield>
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