Robust portfolio choice with derivative trading under stochastic volatility
Marcos Escobar, Sebastian Ferrando, Alexey Rubtsov
| Year of publication: |
December 2015
|
|---|---|
| Authors: | Escobar, Marcos ; Ferrando, Sebastian ; Rubtsov, Alexey |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, p. 142-157
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| Subject: | Robust portfolio choice | Ambiguity | Stochastic volatility | Welfare loss | Portfolio-Management | Portfolio selection | Theorie | Theory | Volatilität | Volatility | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Anlageverhalten | Behavioural finance | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.08.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011545164