What is it about?
Investors guard against an imprecisely estimated jump size distribution for portfolio selection.
Featured Image
Why is it important?
Jump size distributions governing rare events are hard to pin down. Sizable certainty equivalent wealth losses are encountered if jump uncertainty is not well accounted for.
Perspectives
Provide a flexible framework to study jump uncertainty. And illustrate the important through calibration to international equity markets.
Dan Luo
Read the Original
This page is a summary of: Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach, Mathematics of Operations Research, June 2017, INFORMS,
DOI: 10.1287/moor.2017.0854.
You can read the full text:
Contributors
The following have contributed to this page
