Centro de Documentacion de Fundación MAPFRE - Risk management of financial crises : an optimal investment strategy with miltivariate jump-diffusion models

MAP20170019824

Risk management of financial crises : an optimal investment strategy with miltivariate jump-diffusion models / Chou-Wen Wang, Hong-Chih Huang

Sumario: 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/05/2017 Volumen 47 Número 2 - mayo 2017 , p. 501-525

1. Crisis financiera . 2. Activos financieros . 3. Estrategia de crecimiento . 4. Gerencia de riesgos . I. Huang, Hong-Chih . II. Título.