| dc.contributor | 商學院風險與保險研究中心 | |
| dc.creator (作者) | Wang, Chou-Wen;Huang, Hong-Chih | en-US |
| dc.creator (作者) | 王昭文;黃泓智 | zh-tw |
| dc.date (日期) | 2017-05 | |
| dc.date.accessioned | 20-Jul-2017 16:55:06 (UTC+8) | - |
| dc.date.available | 20-Jul-2017 16:55:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 20-Jul-2017 16:55:06 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/111275 | - |
| dc.description.abstract (摘要) | This paper provides an optimal asset allocation strategy to enhance risk management performance in the face of a financial crisis; this strategy entails constructing a good asset model- A multivariate jump-diffusion (MJD) model which includes idiosyncratic and systematic jumps simultaneously- A nd choosing suitable asset allocations and objective functions for fund management. This study also provides the dependence structure for the MJD model. The empirical implementation demonstrates that the proposed MJD model provides more detailed information about the financial crisis, allowing fund managers to determine an appropriate asset allocation strategy that enhances investment performance during the crisis. | |
| dc.format.extent | 696857 bytes | - |
| dc.format.mimetype | application/pdf | - |
| dc.relation (關聯) | ASTIN Bulletin, 47(2), 501-525 | |
| dc.subject (關鍵詞) | asset allocation ; Financial crisis ; idiosyncratic jump ; multivariate jump-diffusion process ; subordinators ; systematic jump | |
| dc.title (題名) | Risk management of financial crises: An optimal investment strategy with multivariate jump-diffusion models | en-US |
| dc.type (資料類型) | article | |
| dc.identifier.doi (DOI) | 10.1017/asb.2017.2 | |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1017/asb.2017.2 | |
