Multivariate Affine GARCH in portfolio optimization : analytical solutions and applications

Marcos Escobar-Anel, Yu-Jung Yang, Rudi Zagst

Year of publication:	2025
Authors:	Escobar, Marcos ; Yang, Yu-Jung ; Zagst, Rudi
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

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