Do jumps matter in discrete-time portfolio optimization?-Reference-Cited by-同舟云学术

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Do jumps matter in discrete-time portfolio optimization?

Published:2024-12 Issue: Volume:13 Page:100312
ISSN:2214-7160
Container-title:Operations Research Perspectives
language:en
Short-container-title:Operations Research Perspectives

Author:

Escobar-Anel Marcos,Spies Ben^ORCID,Zagst Rudi

Publisher

Elsevier BV

Reference30 articles.

1. Optimum consumption and portfolio rules in a continuous-time model;Merton;J Econom Theory,1971

2. A closed-form GARCH option valuation model;Heston;Rev Financ Stud,2000

3. Option valuation with conditional skewness;Christoffersen;J Econometrics,2006

4. Closed-form variance swap prices under general affine GARCH models and their continuous-time limits;Badescu;Ann Oper Res,2019

5. Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options;Christoffersen;J Financ Econ,2012

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