Optimal portfolios when variances and covariances can jump
type: Item
instance of: scholarly article
title: Optimal portfolios when variances and covariances can jump
zbMATH Open document ID: 1401.91511
author: Nicole Branger
author: Matthias Muck
author: Frank Thomas Seifried
author: Stefan Weisheit
publication date: 2018-08-09T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G44
zbMATH DE Number: 6915695
zbMATH Keywords: optimal portfolio choice
zbMATH Keywords: stochastic correlation
zbMATH Keywords: Wishart process
zbMATH Keywords: derivatives
zbMATH Keywords: jump risk
zbMATH Keywords: covariance jumps
MaRDI profile type: Publication
full work available at URL: j.jedc.2017.09.008
OpenAlex ID: W3125682427
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DOI: 10.1016/J.JEDC.2017.09.008
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6915695