Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control
Zhiping Chen
| Year of publication: |
2005
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|---|---|
| Authors: | Chen, Zhiping |
| Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 27.2005, 4, p. 603-632
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| Subject: | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Transaktionskosten | Transaction costs | ARCH-Modell | ARCH model | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003025394