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Persistent link: https://www.econbiz.de/10014466202
In this paper, we consider the optimal strategies in asset allocation, consumption, and life insurance for a household with an exogenous stochastic income under a self-contagious market which is modeled by bivariate self-exciting Hawkes jump processes. By using the Hawkes process, jump...
Persistent link: https://www.econbiz.de/10012835544