Asset allocation with a high dimensional latent factor stochastic volatility model
Year of publication: |
2006
|
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Authors: | Han, Yufeng |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 19.2006, 1, p. 237-271
|
Subject: | Kapitaleinkommen | Capital income | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Multivariate Analyse | Multivariate analysis | CAPM | Portfolio-Management | Portfolio selection | Theorie | Theory | USA | United States | 1990-2000 |
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