Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
CC BY
Lưu vào:
| Tác giả chính: | , , |
|---|---|
| Ngôn ngữ: | English |
| Nhà xuất bản: |
Springer
2023
|
| Chủ đề: | |
| Truy cập trực tuyến: | https://link.springer.com/article/10.1186/s40854-023-00472-8 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7749 |
| Từ khóa: |
Thêm từ khóa
Không có từ khóa, Hãy là người đầu tiên đánh dấu biểu ghi này!
|
| id |
oai:localhost:PNK-7749 |
|---|---|
| record_format |
dspace |
| 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 |
8.891053 |