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Persistent link: https://www.econbiz.de/10011919303
We analyze the optimal portfolio choice in a multi-asset Wishart-model in which return variances and correlations are stochastic and subject to jump risk. The optimal portfolio is characterized by the positions in stock diffusion risk, variance-covariance diffusion risk, and jump risk. We find...
Persistent link: https://www.econbiz.de/10012972045