Dynamic portfolio strategies under a fully correlated jump-diffusion process
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Publication:2334411
DOI10.1007/S10436-019-00350-3zbMATH Open1426.91244OpenAlexW2955671774MaRDI QIDQ2334411FDOQ2334411
Authors: Marcos Escobar Anel, Harold A. Moreno-Franco 
Publication date: 7 November 2019
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-019-00350-3
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- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
- Optimal investment under multi-factor stochastic volatility
- Optimal portfolios when variances and covariances can jump
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