Dynamic portfolio allocation with time-varying jump risk
Chunyang Zhou; Chongfeng Wu; Yudong Wang
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhou, Chunyang ; Wu, Chongfeng ; Wang, Yudong |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 50.2019, p. 113-124
|
| Subject: | Dynamic portfolio allocation | Time-varying jump risk | Simulation method | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Kapitaleinkommen | Capital income | Theorie | Theory | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2019.01.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012169946