Multivariate Affine GARCH in portfolio optimization : analytical solutions and applications
Marcos Escobar-Anel, Yu-Jung Yang, Rudi Zagst
| Year of publication: |
2025
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| Authors: | Escobar, Marcos ; Yang, Yu-Jung ; Zagst, Rudi |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 77.2025, Art.-No. 102376, p. 1-32
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| Subject: | CRRA utility | Expected utility | Multivariate affine GARCH | Portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | ARCH-Modell | ARCH model | Erwartungsnutzen | Multivariate Analyse | Multivariate analysis | Risikomaß | Risk measure | Nutzen | Utility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2025.102376 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015374358