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  • Search: subject:"Stochastic covariance matrix"
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Stochastic covariance matrix 2 CAPM 1 CDO 1 Correlation 1 Dominated model uncertainty 1 Estimation theory 1 Hamilton-Jacobi-Bellman-Isaacs equations 1 Korrelation 1 Mathematical programming 1 Mathematische Optimierung 1 Mean-variance portfolio selection 1 Method of moments 1 Portfolio selection 1 Portfolio-Management 1 Principal component analysis 1 Principal component stochastic volatility model 1 Schätztheorie 1 Stochastic process 1 Stochastischer Prozess 1 Time-inconsistency 1 Trinomial-trees 1 Volatility 1 Volatilität 1
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1 Undetermined 1
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Escobar, Marcos 1 Gotz, Barbara 1 Han, Bingyan 1 Pun, Chi Seng 1 Seco, Luis 1 Wong, Hoi Ying 1 Yan, Tingjin 1 Zagst, Rudi 1
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Mathematics and financial economics 1 Quantitative Finance 1
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724
Persistent link: https://www.econbiz.de/10012321867
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Pricing a CDO on stochastically correlated underlyings
Escobar, Marcos; Gotz, Barbara; Seco, Luis; Zagst, Rudi - In: Quantitative Finance 10 (2010) 3, pp. 265-277
In this paper, we propose a method to price collateralized debt obligations (CDO) within Merton's structural model on underlyings with a stochastic mean-reverting covariance dependence. There are two key elements in our development, first we reduce dimensionality and complexity using principal...
Persistent link: https://www.econbiz.de/10008503057
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