Should (co)jump variation be included in asset allocation?
Zirong Chen, Haonan Lin and Xu Zheng
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Zirong ; Lin, Haonan ; Zheng, Xu |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 29.2022, 20, p. 1868-1875
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| Subject: | covariation matrix | global minimum variance portfolio | Jump variation | turnover | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Korrelation | Correlation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2021.1963655 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013412321