Item Infomation


Title: 
Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
Authors: 
Wujun, Lv
Tao, Pang
Xiaobao, Xia
Issue Date: 
2023
Publisher: 
Springer
Abstract: 
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 market into a single framework. We reach the following conclusions in both markets: first, price diffusion and jump ambiguity mainly determine detection-error probability; second, optimal choice is more significantly affected by price diffusion ambiguity than by jump ambiguity, and trivially affected by volatility diffusion ambiguity.
Description: 
CC BY
URI: 
https://link.springer.com/article/10.1186/s40854-023-00472-8
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7749
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