The SEV-SV model : applications in portfolio optimization
Year of publication: |
2023
|
---|---|
Authors: | Escobar, Marcos ; Fan, Weili |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 2, Art.-No. 30, p. 1-34
|
Subject: | CEV model | expected utility theory | stochastic volatility | stochastic elasticity of volatility | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Erwartungsnutzen | Expected utility |
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