Regularized robust strategic asset allocation under stochastic variance-covariance of asset returns
Kentaro Kikuchi, Koji Kusuda
| Year of publication: |
February 2024
|
|---|---|
| Authors: | Kikuchi, Kentaro ; Kusuda, Koji |
| Publisher: |
Banba, Hikone, Shiga, Japan : [the Institute for Economic and Business Research, Faculty of Economics, Shiga University] |
| Subject: | Homothetic robust utility | Inflation-deflation risk | Stochastic variance-covariance | Regularization | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Robustes Verfahren | Robust statistics | Risiko | Risk |