An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
Year of publication: |
2013
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Authors: | Badaoui, Mohamed ; Fernández, Begoña |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 1, p. 1-13
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Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Experiment | Risikoaversion | Risk aversion | Volatilität | Volatility | Wahrscheinlichkeitsrechnung | Probability theory | Risiko | Risk | Stochastischer Prozess | Stochastic process |
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