Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?
Gonçalo Faria and João Correia-da-Silva
| Year of publication: |
May-July 2016
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| Authors: | Faria, Gonçalo ; Correira-da-Silva, João |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 22.2016, 7/9, p. 601-626
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| Subject: | dynamic portfolio choice | stochastic volatility | ambiguity | robust control | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2014.958511 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011619083