The SEV-SV model : applications in portfolio optimization
Year of publication: |
2023
|
---|---|
Authors: | Escobar, Marcos ; Fan, Weili |
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 |
-
A class of portfolio optimization solvable problems
Cheng, Yuyang, (2023)
-
A multivariate 4/2 stochastic covariance model : properties and applications to portfolio decisions
Cheng, Yuyang, (2023)
-
A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen, (2023)
- More ...
-
Multivariate risk aversion utility, application to ESG investments
Escobar, Marcos, (2022)
-
The mean‐reverting 4/2 stochastic volatility model : Properties and financial applications
Escobar, Marcos, (2020)
-
Closed-form portfolio optimization under GARCH models
Escobar, Marcos, (2022)
- More ...