Co-jumps and recursive preferences in portfolio choices

DOI10.1007/s10436-023-00425-2zbMath1522.91232OpenAlexW4321085468MaRDI QIDQ6076757

Immacolata Oliva, Ilaria Stefani

Publication date: 22 September 2023

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-023-00425-2

zbMATH Keywords

dynamic programmingstochastic volatilityconsumptionWishart processasset allocationrecursive preferencesco-jumps

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

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