Optimal portfolios when variances and covariances can jump (Q1655780)

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Optimal portfolios when variances and covariances can jump
scientific article

    Statements

    title
    Optimal portfolios when variances and covariances can jump (English)
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    author
    Nicole Branger
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    Matthias Muck
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    Frank Thomas Seifried
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    Stefan Weisheit
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    publication date
    9 August 2018
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    zbMATH Keywords
    optimal portfolio choice
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    stochastic correlation
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    Wishart process
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    derivatives
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    jump risk
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    covariance jumps
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    Identifiers

    zbMATH DE Number
    6915695
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    OpenAlex ID
    W3125682427
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