Dynamic derivative strategies with stochastic interest rates and model uncertainty

Marcos Escobar, Sebastian Ferrando, Alexey Rubtsov

Year of publication:	January 2018
Authors:	Escobar, Marcos ; Ferrando, Sebastian ; Rubtsov, Alexey
Published in:	Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 86.2018, p. 49-71
Subject:	Robust portfolio choice \| Ambiguity \| Stochastic volatility \| Stochastic interest rates \| Welfare loss \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Zins \| Interest rate \| Derivat \| Derivative \| Zinsstruktur \| Yield curve \| Entscheidung unter Unsicherheit \| Decision under uncertainty

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