International portfolio choice under multi-factor stochastic volatility
Marcos Escobar-Anel, Sebastian Ferrando, Christoph Gschnaidtner and Alexey Rubtsov
| Year of publication: |
2022
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|---|---|
| Authors: | Escobar, Marcos ; Ferrando, Sebastian ; Gschnaidtner, Christoph ; Rubtsov, Alexey |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 6, p. 1193-1216
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| Subject: | Foreign exchange markets | International portfolio choice | Portfolio choice with stochastic covariance | Welfare loss analysis | Portfolio-Management | Portfolio selection | Theorie | Theory | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Stochastischer Prozess | Stochastic process | Portfolio-Investition | Foreign portfolio investment |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.2019820 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367893