A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions (Q6158415)
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scientific article; zbMATH DE number 7698393
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions |
scientific article; zbMATH DE number 7698393 |
Statements
A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions (English)
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20 June 2023
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stochastic covariance process
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4/2 stochastic volatility model
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stochastic co-volatility movements
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characteristic function
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expected utility theory
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verification theorem
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