Robust portfolio choice under the 4/2 stochastic volatility model
Year of publication: |
2023
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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
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Subject: | robust portfolio choice | ambiguity aversion | 4/2 stochastic volatility model | wealth-equivalent losses | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Entscheidung unter Unsicherheit | Decision under uncertainty | CAPM | Risikoaversion | Risk aversion |
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