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Portfolio optimization with jump-diffusions: estimation of time-dependent parameters and application

Authors: Floyd B. Hanson; John J. Westman;

Portfolio optimization with jump-diffusions: estimation of time-dependent parameters and application

Abstract

Treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market in one phase and then applying the resulting model to a stochastic optimal portfolio application in a second phase. The new developments are the use of uniform jump-amplitude distributions and time-varying market parameters, introducing more realism into the application model, a log-normal-diffusion, log-uniform-jump model.

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Powered by OpenAIRE graph
Found an issue? Give us feedback
selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
10
Average
Top 10%
Average
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