Robust portfolio choice under the 4/2 stochastic volatility model

DOI10.1093/IMAMAN/DPAB033OpenAlexW3206008183MaRDI QIDQ5877569

Marcos Escobar Anel, Yuyang Cheng

Publication date: 14 February 2023

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpab033

zbMATH Keywords

ambiguity aversionrobust portfolio choice4/2 stochastic volatility modelwealth-equivalent losses

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (5)

Co-jumps and recursive preferences in portfolio choices ⋮ Robust optimal asset-liability management with mispricing and stochastic factor market dynamics ⋮ A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions ⋮ Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models ⋮ Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach

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