Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
type: Item
instance of: scholarly article
title: Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
zbMATH Open document ID: 1402.91723
publication date: 2018-11-16T00:00:00Z
full work available at URL: http://hdl.handle.net/11573/1283091
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6980210
zbMATH Keywords: asset allocation
zbMATH Keywords: stochastic volatility
zbMATH Keywords: co-jumps
zbMATH Keywords: Wishart process
zbMATH Keywords: dynamic programming
zbMATH Keywords: hedge funds
author: I. Oliva
author: Roberto Renò
MaRDI profile type: Publication
OpenAlex ID: W2806568750
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Wikidata QID: Q129718675
DOI: 10.1016/J.JEDC.2018.05.004
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6980210