volatility jump diffusion model …

Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

The problem of portfolio allocation in the context of stocks evolving in random environments, that is with volatility …

This supplemental appendix accompanies "Optimal Investment with Transaction Costs and Stochastic Volatility Part II …

stochastic volatility. Although both types of ambiguity considerably impact the optimal portfolio, we show that stock return … ambiguity is more significant for stock allocation whereas volatility uncertainty has larger influence on derivatives trading …. As expected, investors with no access to derivatives would not have additional losses from ignoring volatility …

future volatility from both statistical and economic perspectives. Using seven major jump tests, we show that separating … jumps from diffusion improves volatility forecasting both in-sample and out-of-sample. Moreover, we show that these … statistical improvements can be translated into economic value. We find a risk-averse investor can significantly improve her …

indicates that diversifying across asset classes provides a meaningful reduction in the jump risk an investor is exposed to …

In this companion paper to “Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite … optimal investment and consumption problem under fast mean-reverting stochastic volatility of a joint asymptotic expansion in …