Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494): Difference between revisions

@@ Property / author @@
-Immacolata Oliva
@@ Property / author: Immacolata Oliva / rank @@
-Normal rank
@@ Property / author @@
-Roberto Renò
@@ Property / author: Roberto Renò / rank @@
-Normal rank
@@ Property / author @@
+Immacolata Oliva
@@ Property / author: Immacolata Oliva / rank @@
+Normal rank
@@ Property / author @@
+Roberto Renò
@@ Property / author: Roberto Renò / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2806568750
@@ Property / OpenAlex ID: W2806568750 / rank @@
+Normal rank
@@ Property / cites work @@
+When do jumps matter for portfolio optimization?
@@ Property / cites work: When do jumps matter for portfolio optimization? / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Portfolios for Financial Markets with Wishart Volatility
+Normal rank
@@ Property / cites work @@
+Optimal portfolios when variances and covariances can jump
+Normal rank
@@ Property / cites work @@
+Wishart processes
@@ Property / cites work: Wishart processes / rank @@
+Normal rank
@@ Property / cites work @@
+Alternative models for stock price dynamics.
@@ Property / cites work: Alternative models for stock price dynamics. / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold bipower variation and the impact of jumps on volatility forecasting
+Normal rank
@@ Property / cites work @@
+A multifactor volatility Heston model
@@ Property / cites work: A multifactor volatility Heston model / rank @@
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Optimal consumption and investment with Epstein-Zin recursive utility
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Volatility Jumps
@@ Property / cites work: Volatility Jumps / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q129718675
@@ Property / Wikidata QID: Q129718675 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1624494