Dynamic portfolio strategies under a fully correlated jump-diffusion process
Marcos Escobar-Anel, Harold A. Moreno-Franco
| Year of publication: |
2019
|
|---|---|
| Authors: | Escobar, Marcos ; Moreno-Franco, Harold A. |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 15.2019, 3, p. 421-453
|
| Subject: | Dynamic portfolio choice | HJB equation | Stochastic volatility | Stochastic intensity | Welfare loss | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Korrelation | Correlation | Anlageverhalten | Behavioural finance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-018-00342-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012240153