scientific article; zbMATH DE number 1487901

zbMATH Open1001.91049MaRDI QIDQ4494433FDOQ4494433

Authors: Bernhard Nietert 

Publication date: 4 January 2001

Title of this publication is not available (Why is that?)

Recommendations

• When do jumps matter for portfolio optimization?
• Portfolio choice with jumps: a closed-form solution
• Portfolio selection with jumps under regime switching
• Continuous-time safety-first portfolio selection with jump-diffusion processes
• Portfolio problems based on jump-diffusion models

zbMATH Keywords

stockspure diffusionjump risks

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited In (10)

• SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
• MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
• Dynamic portfolio strategies under a fully correlated jump-diffusion process
• Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
• Optimal portfolios when variances and covariances can jump
• Permanent shocks, signal extraction, and portfolio selection
• Portfolio choice with jumps: a closed-form solution
• Continuous-time safety-first portfolio selection with jump-diffusion processes
• When do jumps matter for portfolio optimization?
• Portfolio rebalancing error with jumps and mean reversion in asset prices

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