Dynamic volatility management : from conditional volatility to realized volatility
Rongju Zhang, Nicolas Langrené, Yu Tian and Zili Zhu
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhang, Rongju ; Langrené, Nicolas ; Tian, Yu ; Zhu, Zili |
| Published in: |
The journal of investment strategies. - London : Infopro Digital, ISSN 2047-1238, ZDB-ID 2889641-5. - Vol. 8.2019, 2, p. 37-67
|
| Subject: | volatility management | volatility target | realized volatility | multiperiod portfolio management | least squares Monte Carlo | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JOIS.2019.109 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012140131