Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like


We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from... [ view full abstract ]


  1. Immacolata Oliva (University of Verona)
  2. Roberto Reno (University of Verona)

Topic Areas

Optimization , Portfolio Theory , Stochastic Volatility


MO-A-SY » Portfolio Choice and Beyond (11:30 - Monday, 16th July, Synge)

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