A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Yuyang Cheng and Marcos Escobar-Anel
| Year of publication: |
2023
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|---|---|
| Authors: | Cheng, Yuyang ; Escobar, Marcos |
| Subject: | 4/2 stochastic volatility model | Characteristic function | Expected utility theory | Stochastic co-volatility movements | Stochastic covariance process | Verification theorem | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Korrelation | Correlation | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Wahrscheinlichkeitsrechnung | Probability theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2160936 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014232681