Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets

DOI10.1007/S10203-011-0111-5zbMath1228.91062OpenAlexW2053089775MaRDI QIDQ651334

Marcel Prokopczuk

Publication date: 13 December 2011

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-011-0111-5

zbMATH Keywords

systemic riskoptimal portfolio choice

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• Optimum portfolio diversification in a general continuous-time model
• Portfolio choice with jumps: a closed-form solution
• An Intertemporal Capital Asset Pricing Model
• Option pricing when underlying stock returns are discontinuous

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