Optimal portfolios when variances and covariances can jump (Q1655780)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6915695
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal portfolios when variances and covariances can jump |
scientific article; zbMATH DE number 6915695 |
Statements
Optimal portfolios when variances and covariances can jump (English)
0 references
9 August 2018
0 references
optimal portfolio choice
0 references
stochastic correlation
0 references
Wishart process
0 references
derivatives
0 references
jump risk
0 references
covariance jumps
0 references
0 references
0 references
0.8537148833274841
0 references
0.8177623748779297
0 references
0.7907466292381287
0 references
0.7900623679161072
0 references
