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q-fin.PM2021
Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are period…
math.ST2021★ 1 cited
Portfolio Selection under Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to ma…