Partial information about contagion risk, self-exciting processes and portfolio optimization : [Version 18 April 2013]
- This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden Markov chain that captures good and bad economic states. The distinctive feature of a model with contagious jumps is that large negative returns and unobservable transitions of the economy into a bad state can occur simultaneously. We show that in this framework the filtered loss intensities have dynamics similar to self-exciting processes. Besides, we study the impact of unobservable contagious jumps on optimal portfolio strategies and filtering.
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| Verfasserangaben: | Nicole BrangerORCiDGND, Holger KraftGND, Christoph MeinerdingORCiDGND |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-315514 |
| URL: | http://ssrn.com/abstract=1633479 |
| DOI: | https://doi.org/10.2139/ssrn.1633479 |
| Titel des übergeordneten Werkes (Deutsch): | SAFE working paper series ; No. 28 |
| Schriftenreihe (Bandnummer): | SAFE working paper (28) |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2013 |
| Jahr der Erstveröffentlichung: | 2013 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 04.09.2013 |
| Freies Schlagwort / Tag: | Asset Allocation; Contagion; Hidden State; Nonlinear Filtering; Self-exciting Processes |
| Ausgabe / Heft: | Version 18 April 2013 |
| Seitenzahl: | 42 |
| Erste Seite: | 1 |
| Letzte Seite: | 39 |
| HeBIS-PPN: | 348850468 |
| Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
