Expected utility theory on general affine GARCH models
Year of publication: |
2021
|
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Authors: | Escobar, Marcos ; Spies, Ben ; Zagst, Rudi |
Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1466-4313, ZDB-ID 2004159-7. - Vol. 28.2021, 6, p. 477-507
|
Subject: | affine GARCH models | Dynamic portfolio optimization | expected utility theory | IG-GARCH model | non-Gaussian innovations | wealth-equivalent loss | Theorie | Theory | Erwartungsnutzen | Expected utility | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
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