Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
I. Oliva, R. Renò
| Year of publication: |
2018
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|---|---|
| Authors: | Renò, Roberto |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 94.2018, p. 242-256
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| Subject: | Asset allocation | Co-jumps | Dynamic programming | Hedge funds | Stochastic volatility | Wishart process | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Hedgefonds | Hedge fund | Theorie | Theory | Dynamische Optimierung | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2018.05.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012004394