Essec\Faculty\Model\Contribution {#2188
  #_index: "academ_contributions"
  #_id: "13711"
  #_source: array:26 [
    "id" => "13711"
    "slug" => "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."
    "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."
      "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."
    ]
    "authors_fields" => array:2 [
      "fr" => "Systèmes d’Information, Sciences de la Décision et Statistiques"
      "en" => "Information Systems, Decision Sciences and Statistics"
    ]
    "indexedAt" => "2024-04-28T11:21:50.000Z"
    "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, Decision Sciences and Statistics</span> | <span class="document-property-year">2018</span>"
    "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>"
    "docPreview" => "<b>Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like</b><br><span>2018-09 | Journal articles </span>"
    "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>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.79779
  +"parent": null
}