Optimal portfolios when variances and covariances can jump
Nicole Branger, Matthias Muck, Frank Thomas Seifried, Stefan Weisheit
| Year of publication: |
december 2017
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|---|---|
| Authors: | Branger, Nicole ; Muck, Matthias ; Seifried, Frank Thomas ; Weisheit, Stefan |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 85.2017, p. 59-89
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| Subject: | Optimal portfolio choice | Stochastic correlation | Wishart process | Derivatives | Jump risk | Covariance jumps | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2017.09.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011919303