What is the impact of stock market contagion on an investor's portfolio choice?
type: Item
instance of: scholarly article
title: What is the impact of stock market contagion on an investor's portfolio choice?
zbMATH Open document ID: 1231.91397
author: Nicole Branger
author: Holger Kraft
author: Christoph Meinerding
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
full work available at URL: http://nbn-resolving.de/urn/resolver.pl
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6004623
zbMATH Keywords: asset allocation
zbMATH Keywords: jumps
zbMATH Keywords: contagion
zbMATH Keywords: model risk
MaRDI profile type: Publication
OpenAlex ID: W1978582285
cites work: A general version of the fundamental theorem of asset pricing
cites work: Asset allocation under multivariate regime switching
cites work: The numerical solution of differential-algebraic systems by Runge-Kutta methods
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
cites work: How to invest optimally in corporate bonds: a reduced-form approach
cites work: Asset allocation with contagion and explicit bankruptcy procedures
cites work: Optimum consumption and portfolio rules in a continuous-time model
DOI: 10.1016/J.INSMATHECO.2009.04.006
description: scientific article; zbMATH DE number 6004623