An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
Mohamed Badaoui; Begoña Fernández
| Year of publication: |
2013
|
|---|---|
| Authors: | Badaoui, Mohamed ; Fernández, Begoña |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 1, p. 1-13
|
| Subject: | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Institutioneller Investor | Institutional investor | Volatilität | Volatility | Kontrolltheorie | Control theory | Rücklage | Reserves for contingencies |
| Extent: | graph. Darst. |
|---|---|
| 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/10009785429