Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-022-05130-3.pdf
Reference66 articles.
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3. Aït-Sahalia, Y., & Jacod, J. (2009). Testing for jumps in a discretely observed process. The Annals of Statistics, 37(1), 184–222.
4. Aït-Sahalia, Y., & Jacod, J. (2012). Analyzing the spectrum of asset returns: Jump and volatility components in high frequency data. Journal of Economic Literature, 50(4), 1007–1050.
5. Amenc, N., Ducoulombier, F., Goltz, F., Lodh, A., & Sivasubramanian, A. (2016). Diversified or concentrated factor tilts? Journal of Portfolio Management, 42(2), 64–76.
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