Robust portfolio choice under the 4/2 stochastic volatility model
Yuyang Cheng and Marcos Escobar-Anel
| Year of publication: |
2023
|
|---|---|
| Authors: | Cheng, Yuyang ; Escobar, Marcos |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 34.2023, 1, p. 221-256
|
| Subject: | robust portfolio choice | ambiguity aversion | 4/2 stochastic volatility model | wealth-equivalent losses | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics | Risikoaversion | Risk aversion |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpab033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013541857