Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions
Chongfeng Wu and
Journal of Futures Markets, 2020, vol. 40, issue 3, 460-478
This paper examines the role of time‐varying jump intensities in forming mean‐variance portfolios. We find that compared with the no‐jump or constant‐jump models, the model which incorporates time‐varying jump intensities better fits the dynamics of the assets returns, and yields mean‐variance portfolios with higher Sharpe ratios. Our research suggests that using a better econometric model that captures non‐normal features in the data has benefits for portfolio allocation even for a mean‐variance investor.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:40:y:2020:i:3:p:460-478
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314
Access Statistics for this article
Journal of Futures Markets is currently edited by Robert I. Webb
More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().