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Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Behavioral portfolio choice under hyperbolic absolute risk aversion

Escobar, Marcos; Lichtenstern, Andreas; Zagst, Rudi - In: International journal of theoretical and applied finance 23 (2020) 7, pp. 1-33

Persistent link: https://www.econbiz.de/10012496902

Expected utility theory on general affine GARCH models

Escobar, Marcos; Spies, Ben; Zagst, Rudi - In: Applied mathematical finance 28 (2021) 6, pp. 477-507

Persistent link: https://www.econbiz.de/10013411768

Revisiting the 1/N-strategy : a neural network framework for optimal strategies

Escobar, Marcos; Theilacker, Lorenz; Zagst, Rudi - In: Decisions in economics and finance : a journal of … 46 (2023) 2, pp. 505-542

Persistent link: https://www.econbiz.de/10014443753

Mean-variance optimization under affine GARCH : a utility-based solution

Escobar, Marcos; Spies, Ben; Zagst, Rudi - In: Finance research letters 59 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014445236