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When Do Jumps Matter for Portfolio Optimization?

https://doi.org/10.2139/ssrn.2257689
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/b978-0-12-268201-8.50010-4openalex-extracted
Stochastic Differential Equations
inferredcites →https://doi.org/10.1016/j.anihpc.2007.02.007openalex-extracted
Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
inferredcites →https://doi.org/10.1016/j.jedc.2011.09.009openalex-extracted
The Costs of Suboptimal Dynamic Asset Allocation: General Results and Applications to Interest Rate Risk, Stock Volatility Risk, and Growth/Value Tilts
inferredcites →https://doi.org/10.1016/s0294-1449(16)30106-8openalex-extracted
Viscosity solutions of nonlinear integro-differential equations
inferredcites →https://doi.org/10.1016/s0304-4076(99)00021-4openalex-extracted
Post-'87 crash fears in the S&P 500 futures option market
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-extracted
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/9.1.141openalex-extracted
Dynamic Nonmyopic Portfolio Behavior
inferredcites →https://doi.org/10.1093/rfs/9.1.69openalex-extracted
Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
inferredcites →https://doi.org/10.1093/rfs/hhl001openalex-extracted
Portfolio Selection in Stochastic Environments
inferredcites →https://doi.org/10.1111/1540-6261.00566openalex-extracted
The Impact of Jumps in Volatility and Returns
inferredcites →https://doi.org/10.1142/s0219024910005851openalex-extracted
UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS

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inferred← citeshttps://doi.org/10.1016/j.jedc.2014.02.013openalex-snapshot
Consuming Durable Goods When Stock Markets Jump: A Strategic Asset Allocation Approach
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