A generalized constant elasticity of volatility and correlation ratio (CEVC) model : empirical evidence and application for portfolio optimization
Marcos Escobar-Anel
| Year of publication: |
2025
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| Authors: | Escobar, Marcos |
| Published in: |
Economic modelling. - Amsterdam : Elsevier [u.a.], ISSN 0264-9993, ZDB-ID 2013002-8. - Vol. 147.2025, Art.-No. 107039, p. 1-9
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| Subject: | Elasticity of volatility | Elasticity of correlation | Local correlation | Estimation | Portfolio optimization | Expected utility theory | Existence and uniqueness | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Korrelation | Correlation | Erwartungsnutzen | Expected utility | Elastizität | Elasticity | Schätzung | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2025.107039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015438342