International portfolio choice under multi-factor stochastic volatility

DOI10.1080/14697688.2021.2019820zbMath1491.91117OpenAlexW4225552411MaRDI QIDQ5079408

Marcos Escobar Anel, Christoph Gschnaidtner, Alexey N. Rubtsov, Sebastian E. Ferrando

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.2019820

zbMATH Keywords

foreign exchange marketsinternational portfolio choiceportfolio choice with stochastic covariancewelfare loss analysis

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions

Uses Software

• Algorithm 963

Cites Work

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