Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control

DOI10.1007/s00291-005-0195-9zbMath1091.91033OpenAlexW2014428927MaRDI QIDQ2576693

Zhiping Chen

Publication date: 14 December 2005

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-005-0195-9

zbMATH Keywords

Stochastic programmingTransaction costsConsumption and investment problemsCVaR risk measureMGARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Stochastic programming (90C15)

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