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Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets

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Main Authors: Wujun, Lv, Tao, Pang, Xiaobao, Xia
Language:English
Published: Springer 2023
Subjects:
uncertain rare-events risk
cryptocurrency markets
Online Access:https://link.springer.com/article/10.1186/s40854-023-00472-8
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7749
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spelling oai:localhost:PNK-77492023-04-11T02:57:21Z Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets Wujun, Lv Tao, Pang Xiaobao, Xia uncertain rare-events risk cryptocurrency markets CC BY 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. 2023-04-11T02:57:21Z 2023-04-11T02:57:21Z 2023 https://link.springer.com/article/10.1186/s40854-023-00472-8 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7749 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic uncertain rare-events risk
cryptocurrency markets
spellingShingle uncertain rare-events risk
cryptocurrency markets
Wujun, Lv
Tao, Pang
Xiaobao, Xia
Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
description CC BY
author Wujun, Lv
Tao, Pang
Xiaobao, Xia
author_facet Wujun, Lv
Tao, Pang
Xiaobao, Xia
author_sort Wujun, Lv
title Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
title_short Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
title_full Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
title_fullStr Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
title_full_unstemmed Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
title_sort dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1186/s40854-023-00472-8
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7749
_version_ 1762909082907312128
score 8.893527

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