Optimal portfolios when variances and covariances can jump

DOI10.1016/J.JEDC.2017.09.008zbMath1401.91511OpenAlexW3125682427MaRDI QIDQ1655780

Frank Thomas Seifried, Stefan Weisheit, Matthias Muck, Nicole Branger

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.09.008

zbMATH Keywords

derivativesjump riskstochastic correlationWishart processoptimal portfolio choicecovariance jumps

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (9)

Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like ⋮ Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market ⋮ Geometric ergodicity of affine processes on cones ⋮ Cojumps and asset allocation in international equity markets ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ Household lifetime strategies under a self-contagious market ⋮ Investigations to the optimal derivative-based investment and proportional reinsurance strategies ⋮ Dynamic portfolio strategies under a fully correlated jump-diffusion process

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