Robust portfolio choice with derivative trading under stochastic volatility
Year of publication: |
December 2015
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Authors: | Escobar, Marcos ; Ferrando, Sebastian ; Rubtsov, Alexey |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, p. 142-157
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Subject: | Robust portfolio choice | Ambiguity | Stochastic volatility | Welfare loss | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Robustes Verfahren | Robust statistics | Entscheidung unter Unsicherheit | Decision under uncertainty |
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