کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7358946 | 1478660 | 2017 | 74 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal portfolios when variances and covariances can jump
ترجمه فارسی عنوان
اوراق بهادار بهینه زمانی که واریانس و کوواریانس می تواند پرش
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
چکیده انگلیسی
We analyze the optimal portfolio choice in a multi-asset Wishart-model in which return variances and correlations are stochastic and subject to jump risk. The optimal portfolio is characterized by the positions in stock diffusion risk, variance-covariance diffusion risk, and jump risk. We find that including jumps in the second moments changes the optimal positions and particularly variance-covariance hedging demands significantly. Erroneously omitting these jumps gives rise to substantial model risk. Furthermore, variance-covariance jump risk can have a significant impact on potential utility gains when the market is completed by adding derivatives. As a robustness check, we compare our results to those obtained for other parametrizations of Wishart-models from the literature as well as to various single-asset models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 85, December 2017, Pages 59-89
Journal: Journal of Economic Dynamics and Control - Volume 85, December 2017, Pages 59-89
نویسندگان
Nicole Branger, Matthias Muck, Frank Thomas Seifried, Stefan Weisheit,