Joint tails impact in stochastic volatility portfolio selection models
Year of publication: |
2020
|
---|---|
Authors: | Bonomelli, Marco ; Giacometti, Rosella ; Ortobelli Lozza, Sergio |
Published in: |
Stochastic optimization: theory and applications. - New York, NY, USA : Springer. - 2020, p. 833-848
|
Subject: | Markov chain | Sharpe ratio | Stochastic dominance | Stochastic volatility | Theorie | Theory | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Kapitaleinkommen | Capital income |
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