Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like

DOI10.1016/j.jedc.2018.05.004zbMath1402.91723OpenAlexW2806568750WikidataQ129718675 ScholiaQ129718675MaRDI QIDQ1624494

Immacolata Oliva, Roberto Renò

Publication date: 16 November 2018

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

Full work available at URL: http://hdl.handle.net/11573/1283091

zbMATH Keywords

dynamic programmingstochastic volatilityhedge fundsWishart processasset allocationco-jumps

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items

Robust consumption and portfolio choice with derivatives trading ⋮ Co-jumps and recursive preferences in portfolio choices

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