The power of derivatives in portfolio optimization under affine GARCH models
Marcos Escobar-Anel, Eric Molter, Rudi Zagst
| Year of publication: |
2024
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|---|---|
| Authors: | Escobar, Marcos ; Molter, Eric ; Zagst, Rudi |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 47.2024, 1, p. 151-181
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| Subject: | Expected utility theory | GARCH models | Incomplete markets | Portfolio analysis | Power option | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Unvollkommener Markt | Incomplete market | Erwartungsnutzen | Expected utility | Derivat | Derivative | Risikomaß | Risk measure | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-024-00433-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015044791