When Do Jumps Matter for Portfolio Optimization?

Ascheberg Marius, Branger Nicole, Kraft Holger, Seifried Frank

Cite as

Ascheberg, M., Branger, N., Kraft, H., & Seifried, F. (2016). When Do Jumps Matter for Portfolio Optimization?. Quantitative Finance, 16(8), 1297–1311.

Details

Publication type
Research article (journal)

Peer reviewed
Yes

Publication status
Published

Year
2016

Journal
Quantitative Finance

Volume
16

Issue
8

Start page
1297

End page
1311

Language
English

ISSN
1469-7688

DOI
https://doi.org/10.1080/14697688.2015.1131844

Full text
http://www.tandfonline.com/