Portfolio Optimization with Jump–Diffusions: Estimation of Time-Dependent Parameters and Application
نویسندگان
چکیده
This paper 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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