| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089845 | Journal of Banking & Finance | 2012 | 18 Pages |
Abstract
⺠Optimal portfolio decision in models with stochastic volatility and stochastic jumps. ⺠The structure of the risk premia is as important as the type of the model. ⺠Significant utility losses in case of model and risk premia mis-specifications. ⺠The results of omitting jumps in volatility can be devastating. ⺠A misestimation of the structure of the risk premia can lead to a loss of 4% per year.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Nicole Branger, Alexandra Hansis,