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Stochastic volatility
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model misspecification
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Asset allocation: How much does model choice matter?
Branger, Nicole
;
Hansis, Alexandra
- In:
Journal of Banking & Finance
36
(
2012
)
7
,
pp. 1865-1882
options. We also show that
model
mis-specification
results in significant utility losses. Omitting jumps in volatility can be …
Persistent link: https://www.econbiz.de/10010574861
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