Do jumps matter in discrete-time portfolio optimization?
This paper studies a discrete-time portfolio optimization problem, wherein the underlying risky asset follows a Lévy GARCH model. Besides a Gaussian noise, the framework allows for various jump increments, including infinite-activity jumps. Using a dynamic programming approach and exploiting the aff...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2024-12-01
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| Series: | Operations Research Perspectives |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214716024000162 |
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