Continuous and jump betas : implications for portfolio diversification
Year of publication: |
June 2016
|
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Authors: | Alexeev, Vitali ; Dungey, Mardi H. ; Yao, Wenying |
Published in: |
Econometrics : open access journal. - Basel : MDPI, ISSN 2225-1146, ZDB-ID 2717594-7. - Vol. 4.2016, 2, p. 1-15
|
Subject: | systematic risk | jump diffusion | portfolio diversification | high-frequency data | Portfolio-Management | Portfolio selection | Volatilität | Volatility | CAPM | Kapitaleinkommen | Capital income | Betafaktor | Beta risk | Theorie | Theory | Börsenkurs | Share price |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/econometrics4020027 [DOI] hdl:10419/171878 [Handle] |
Classification: | c58 ; G11 - Portfolio Choice ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis |
Source: | ECONIS - Online Catalogue of the ZBW |
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