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Optimal portfolios when variances and covariances can jump

Branger, Nicole; Muck, Matthias; Seifried, Frank Thomas; … - In: Journal of economic dynamics & control 85 (2017), pp. 59-89

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Vergleich von Garantiekonzepten im Kontext innovativer Lebensversicherungsprodukte

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Optimal Portfolios when Variances and Covariances can Jump

Branger, Nicole - 2017

We analyze the optimal portfolio choice in a multi-asset Wishart-model in which return variances and correlations are stochastic and subject to jump risk. The optimal portfolio is characterized by the positions in stock diffusion risk, variance-covariance diffusion risk, and jump risk. We find...

Persistent link: https://www.econbiz.de/10012972045