Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (Q1624494): Difference between revisions
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Latest revision as of 23:18, 26 August 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like |
scientific article |
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Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like (English)
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16 November 2018
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asset allocation
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stochastic volatility
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co-jumps
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Wishart process
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dynamic programming
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hedge funds
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