A collective investment problem in a stochastic volatility environment : the impact of sharing rules
Year of publication: |
2021
|
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Authors: | Chen, An ; Nguyen, Thai ; Rach, Manuel Matthias |
Published in: |
Annals of operations research ; volume 302, number 1 (July 2021). - New York, NY, USA : Springer. - 2021, p. 85-109
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Subject: | Collective investment problems | Stochastic volatility | portfolio insurance | Sharing rules | Theorie | Theory | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
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