When do jumps matter for portfolio optimization?
Year of publication: |
2013
|
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Authors: | Ascheberg, Marius ; Branger, Nicole ; Kraft, Holger |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe |
Subject: | Optimal investment | jumps | stochastic volatility | welfare loss |
Series: | SAFE Working Paper ; 16 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.2259630 [DOI] 775702579 [GVK] hdl:10419/88724 [Handle] RePEc:zbw:safewp:16 [RePEc] |
Classification: | G11 - Portfolio Choice ; C63 - Computational Techniques |
Source: |
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When do jumps matter for portfolio optimization?
Ascheberg, Marius, (2013)
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When do jumps matter for portfolio optimization?
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When do jumps matter for portfolio optimization?
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When do jumps matter for portfolio optimization?
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