Dynamic derivative strategies with stochastic interest rates and model uncertainty
Year of publication: |
January 2018
|
---|---|
Authors: | Escobar, Marcos ; Ferrando, Sebastian ; Rubtsov, Alexey |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 86.2018, p. 49-71
|
Subject: | Robust portfolio choice | Ambiguity | Stochastic volatility | Stochastic interest rates | Welfare loss | Theorie | Theory | Portfolio-Management | Portfolio selection | Experiment | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Zins | Interest rate | Derivat | Derivative |
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