Regularized robust strategic asset allocation under stochastic variance-covariance of asset returns
Kentaro Kikuchi, Koji Kusuda
| Year of publication: |
February 2024
|
|---|---|
| Authors: | Kikuchi, Kentaro ; Kusuda, Koji |
| Publisher: |
Banba, Hikone, Shiga, Japan : [the Institute for Economic and Business Research, Faculty of Economics, Shiga University] |
| Subject: | Homothetic robust utility | Inflation-deflation risk | Stochastic variance-covariance | Regularization | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Kapitaleinkommen | Capital income | Risiko | Risk |
| Extent: | 1 Online-Ressource (circa 40 Seiten) Illustrationen |
|---|---|
| Series: | Discussion paper series : discussion paper. - Banba, Hikone, Shiga, Japan : [the Institute for Economic and Business Research, Faculty of Economics, Shiga University], ZDB-ID 3189502-5. |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014549549