scientific article; zbMATH DE number 1487901

MaRDI QIDQ4494433zbMATH OpenFDO

Authors Bernhard Nietert

Publication date 4 January 2001

zbMATH Keywords

stockspure diffusionjump risks

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• When do jumps matter for portfolio optimization?
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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
• When do jumps matter for portfolio optimization?
• Continuous-time safety-first portfolio selection with jump-diffusion processes
• Portfolio rebalancing error with jumps and mean reversion in asset prices

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