Stochastic volatility modelling in portfolio selection via sequential Monte Carlo simulation
Igor Ferreira do Nascimento, Pedro Henrique Melo Albuquerque, Yaohao Peng
| Year of publication: |
2021
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|---|---|
| Authors: | Nascimento, Igor Ferreira do ; Albuquerque, Pedro H. ; Peng, Yaohao |
| Published in: |
International journal of portfolio analysis and management : IJPAM. - Genéve [u.a.] : Inderscience Enterprises, ISSN 2048-237X, ZDB-ID 2663998-1. - Vol. 2.2021, 3, p. 249-267
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| Subject: | stochastic volatility | particle filter | Monte Carlo methods | dynamic models | portfolio allocation | Bayesian analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Portfolio-Management | Portfolio selection | Theorie | Theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Simulation | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1504/IJPAM.2021.115633 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012595961