“Asset Allocation with Hedge Funds on the Menu” Phelim Boyle and Sun Siang Liew, October 2007

DOI10.1080/10920277.2008.10597502zbMath1481.91194OpenAlexW1586072680MaRDI QIDQ5022526

Hans U. Gerber, Elias S. W. Shiu

Publication date: 19 January 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2008.10597502

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (5)

A stochastic flows approach for asset allocation with hidden economic environment ⋮ A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing ⋮ European option pricing with market frictions, regime switches and model uncertainty ⋮ HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS ⋮ Pricing Annuity Guarantees Under a Regime-Switching Model

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