Joint tails impact in stochastic volatility portfolio selection models
Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza
| Year of publication: |
2020
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|---|---|
| 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 | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory | Markov-Kette | Kapitaleinkommen | Capital income | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-020-03531-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012290845