Mean-variance optimization under affine GARCH : a utility-based solution
Marcos Escobar-Anel, Ben Spies, Rudi Zagst
| Year of publication: |
2024
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|---|---|
| Authors: | Escobar, Marcos ; Spies, Ben ; Zagst, Rudi |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 59.2024, Art.-No. 104749, p. 1-7
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| Subject: | Affine GARCH models | CPPI strategy | Dynamic portfolio optimization | Efficient frontier | HARA utility | Mean-variance | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Erwartungsnutzen | Expected utility | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104749 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014445236