Dynamic derivative strategies with stochastic interest rates and model uncertainty
type: Item
instance of: scholarly article
title: Dynamic derivative strategies with stochastic interest rates and model uncertainty
zbMATH Open document ID: 1401.91516
author: M. Escobar
author: Sebastian E. Ferrando
author: A. N. Rubtsov
publication date: 2018-08-13T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6916795
zbMATH Keywords: robust portfolio choice
zbMATH Keywords: ambiguity
zbMATH Keywords: stochastic volatility
zbMATH Keywords: stochastic interest rates
zbMATH Keywords: welfare loss
describes a project that uses: Algorithm 963
MaRDI profile type: Publication
full work available at URL: j.jedc.2017.09.007
OpenAlex ID: W2761953470
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DOI: 10.1016/J.JEDC.2017.09.007
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6916795