When do jumps matter for portfolio optimization?
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Publication:4554219
DOI10.1080/14697688.2015.1131844zbMath1400.91526OpenAlexW3125556411MaRDI QIDQ4554219
Frank Thomas Seifried, Nicole Branger, Marius Ascheberg, Holger Kraft
Publication date: 13 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/39304/SSRN-id2259630.pdf
Related Items (3)
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like ⋮ Co-jumps and recursive preferences in portfolio choices ⋮ Consuming durable goods when stock markets jump: a strategic asset allocation approach
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