Joint tails impact in stochastic volatility portfolio selection models

DOI10.1007/S10479-020-03531-WzbMath1455.91232OpenAlexW3005888813MaRDI QIDQ827150

Marco Bonomelli, Sergio Ortobelli Lozza, Rosella Giacometti

Publication date: 6 January 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-020-03531-w

zbMATH Keywords

stochastic volatilityMarkov chainstochastic dominanceSharpe rationonparametric Markov stochastic volatility processportfolio return distribution

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)

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