Essec\Faculty\Model\Contribution {#2216 ▼
#_index: "academ_contributions"
#_id: "13711"
#_source: array:26 [
"id" => "13711"
"slug" => "13711-optimal-portfolio-allocation-with-volatility-and-co-jump-risk-that-markowitz-would-like"
"yearMonth" => "2018-09"
"year" => "2018"
"title" => "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like"
"description" => "OLIVA, I. et RENO, R. (2018). Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. <i>Journal of Economic Dynamics and Control</i>, 94, pp. 242-256. 
OLIVA, I. et RENO, R. (2018). Optimal portfolio allocation with volatility and co-jump risk that Mar "
"authors" => array:2 [
0 => array:3 [
"name" => "RENO Roberto"
"bid" => "B00798674"
"slug" => "reno-roberto"
]
1 => array:1 [
"name" => "OLIVA I."
]
]
"ouvrage" => ""
"keywords" => array:6 [
0 => "Asset allocation"
1 => "Stochastic volatility"
2 => "Co-jumps"
3 => "Wishart process"
4 => "Dynamic programming"
5 => "Hedge funds"
]
"updatedAt" => "2023-02-07 01:00:47"
"publicationUrl" => "https://doi.org/10.1016/j.jedc.2018.05.004"
"publicationInfo" => array:3 [
"pages" => "242-256"
"volume" => "94"
"number" => ""
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => "We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from affine models by specifying a flexible Wishart jump-diffusion for the co-precision (the inverse of the covariance matrix). The optimal portfolio weights that solve the dynamic programming problem are genuinely dynamic and proportional to the instantaneous co-precision, reconciling optimal dynamic allocation with the static Markowitz-type economic intuition. An application to the optimal allocation problem across hedge fund investment styles illustrates the importance of having jumps in volatility associated with jumps in price. We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, al "
"en" => "We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from affine models by specifying a flexible Wishart jump-diffusion for the co-precision (the inverse of the covariance matrix). The optimal portfolio weights that solve the dynamic programming problem are genuinely dynamic and proportional to the instantaneous co-precision, reconciling optimal dynamic allocation with the static Markowitz-type economic intuition. An application to the optimal allocation problem across hedge fund investment styles illustrates the importance of having jumps in volatility associated with jumps in price. We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, al "
]
"authors_fields" => array:2 [
"fr" => "Systèmes d'Information, Data Analytics et Opérations"
"en" => "Information Systems, Data Analytics and Operations"
]
"indexedAt" => "2025-04-04T01:21:48.000Z"
"docTitle" => "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like"
"docSurtitle" => "Journal articles"
"authorNames" => "<a href="/cv/reno-roberto">RENO Roberto</a>, OLIVA I."
"docDescription" => "<span class="document-property-authors">RENO Roberto, OLIVA I.</span><br><span class="document-property-authors_fields">Information Systems, Data Analytics and Operations</span> | <span class="document-property-year">2018</span> <span class="document-property-authors">RENO Roberto, OLIVA I.</span><br><span class="document-prope "
"keywordList" => "<a href="#">Asset allocation</a>, <a href="#">Stochastic volatility</a>, <a href="#">Co-jumps</a>, <a href="#">Wishart process</a>, <a href="#">Dynamic programming</a>, <a href="#">Hedge funds</a> <a href="#">Asset allocation</a>, <a href="#">Stochastic volatility</a>, <a href="#">Co-jumps</a>, < "
"docPreview" => "<b>Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like</b><br><span>2018-09 | Journal articles </span> <b>Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like</b><br><s "
"docType" => "research"
"publicationLink" => "<a href="https://doi.org/10.1016/j.jedc.2018.05.004" target="_blank">Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like</a> <a href="https://doi.org/10.1016/j.jedc.2018.05.004" target="_blank">Optimal portfolio allocation wi "
]
+lang: "en"
+"_type": "_doc"
+"_score": 8.638915
+"parent": null
}
