Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
V. Bergen, M. Escobar, A. Rubtsov and R. Zagst
| Year of publication: |
August 2018
|
|---|---|
| Authors: | Bergen, V. ; Escobar, Marcos ; Rubtsov, A. ; Zagst, Rudi |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 8, p. 1265-1294
|
| Subject: | Multivariate portfolio choice | Ambiguity | Stochastic covariance | Welfare loss | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Korrelation | Correlation | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1429647 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011911537