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When do jumps matter for portfolio optimization? - MaRDI portal

When do jumps matter for portfolio optimization? (Q4554219)

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scientific article; zbMATH DE number 6976816
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When do jumps matter for portfolio optimization?
scientific article; zbMATH DE number 6976816

    Statements

    title
    When do jumps matter for portfolio optimization? (English)
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    author
    Marius Ascheberg
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    Nicole Branger
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    Holger Kraft
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    Frank Thomas Seifried
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    publication date
    13 November 2018
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    zbMATH DE Number
    6976816
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    zbMATH Keywords
    optimal investment
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    stochastic volatility
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    welfare loss
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    OpenAlex ID
    W3125556411
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