Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
Year of publication: |
2019
|
---|---|
Authors: | Fouque, Jean-Pierre |
Other Persons: | Pun, Chi Seng (contributor) ; Wong, Hoi Ying (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (30 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: SIAM J. Control Optim., 54(5), 2309-2338, 2016 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 13, 2014 erstellt |
Other identifiers: | 10.2139/ssrn.2479796 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Currency risk : comovements and intraday cojumps
Lahaye, Jérôme, (2016)
-
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang, (2023)
-
Dynamic portfolio strategies under a fully correlated jump-diffusion process
Escobar, Marcos, (2019)
- More ...
-
Resolution of Degeneracy in Merton's Portfolio Problem
Pun, Chi Seng, (2017)
-
Choi Chiu, Mei, (2017)
-
Robust Non-Zero-Sum Stochastic Differential Investment-Reinsurance Game
Pun, Chi Seng, (2017)
- More ...