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Optimal investment under multi-factor stochastic volatility - MaRDI portal

Optimal investment under multi-factor stochastic volatility (Q4555076)

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scientific article; zbMATH DE number 6981190
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English
Optimal investment under multi-factor stochastic volatility
scientific article; zbMATH DE number 6981190

    Statements

    title
    Optimal investment under multi-factor stochastic volatility (English)
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    author
    Marcos Escobar
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    Sebastian E. Ferrando
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    Alexey N. Rubtsov
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    publication date
    19 November 2018
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    zbMATH Keywords
    multivariate portfolio choice
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    stochastic covariance
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    welfare loss
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    cites work
    Riding on the smiles
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    Q3374310
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    Algorithm 963
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    Identifiers

    zbMATH DE Number
    6981190
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    OpenAlex ID
    W3123946338
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