Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control
Year of publication: |
2005
|
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Authors: | Chen, Zhiping |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 27.2005, 4, p. 603-632
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Subject: | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Transaktionskosten | Transaction costs | ARCH-Modell | ARCH model | Theorie | Theory |
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