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ArticleOptimum portfolio diversification in a general continuous-time model

Knut Kristian Aase1984

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Articlebronze1984

Optimum portfolio diversification in a general continuous-time model

Knut Kristian Aase

100 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1952PORTFOLIO SELECTION*1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1964Risk Aversion in the Small and in the Large 1976Risk Aversion in the Small and in the Large 1958Liquidity Preference as Behavior Towards Risk 1981Martingales and stochastic integrals in the theory of continuous trading 2010Stochastic Programming

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2015Portfolio Choice in Markets with Contagion 1988Contingent claims valuation when the security price is a combination of an Ito process and a random point process 2009Portfolio choice with jumps: a closed-form solution 2002Dynamic Asset Allocation With Event Risk 2006“Itô's Lemma” and the Bellman Equation for Poisson Processes: An Applied View 2002Systemic Risk and International Portfolio Choice

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1973Mathematics of Speculative Pricearticle · 11 shared references 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysisarticle · 10 shared references 1995Chapter 1 Portfolio theorychapter · 10 shared references 1982Chapter 13 On the microeconomic theory of investment under uncertaintychapter · 10 shared references 1974Fallacy of the log-normal approximation to optimal portfolio decision-making over many periodsarticle · 8 shared references 1989Mean—Variance Analysischapter · 8 shared references

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Year1984

Typearticle

Published1984-09-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations100

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4149(84)90163-7

openalex_workW2050590804

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1987

COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON

2012Portfolio Selection: A Review