Co-jumps and recursive preferences in portfolio choices
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Publication:6076757
DOI10.1007/s10436-023-00425-2zbMath1522.91232OpenAlexW4321085468MaRDI QIDQ6076757
Immacolata Oliva, Ilaria Stefani
Publication date: 22 September 2023
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-023-00425-2
dynamic programmingstochastic volatilityconsumptionWishart processasset allocationrecursive preferencesco-jumps
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