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Matches in SemOpenAlex for { <https://semopenalex.org/work/W1986242012> ?p ?o ?g. }

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• W1986242012 abstract "We investigate the optimal portfolio problem under the threat of a financial market crash in a multidimensional jump-diffusion framework. We set up a nonprobabilistic crash model and consider an investor that seeks to maximize CRRA utility in the worst possible crash scenario. We recast the problem as a stochastic differential game; with the help of the fundamental notion of indifference strategies, we completely solve the portfolio problem using martingale arguments." @default.
• W1986242012 created "2016-06-24" @default.
• W1986242012 creator A5015522850 @default.
• W1986242012 date "2010-08-01" @default.
• W1986242012 modified "2023-10-16" @default.
• W1986242012 title "Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach" @default.
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• W1986242012 doi "https://doi.org/10.1287/moor.1100.0459" @default.
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