Jump-diffusion international asset allocation

DOI10.1007/S11579-015-0160-6zbMath1404.91252OpenAlexW2279797231MaRDI QIDQ300842

Jaeyoung Sung

Publication date: 29 June 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-015-0160-6

zbMATH Keywords

purchasing power parityexchange rate riskinflation riskinternational asset allocationjump-diffusion asset pricenontraded goodPPP deviationTIPS bond

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Dynamic asset pricing with non-redundant forwards
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Point processes and queues. Martingale dynamics
• Optimization Problems in the Theory of Continuous Trading
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• A Dynamic Equilibrium Model of International Portfolio Holdings
• A Dynamic Equilibrium Model of International Portfolio Holdings: Comment

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