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Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
In response to the unprecedented uncertain rare events of the last decade, we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity occurring in the traditional stock market and the cryptocurrency...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10073631/ https://www.ncbi.nlm.nih.gov/pubmed/37033296 http://dx.doi.org/10.1186/s40854-023-00472-8 |