Optimal portfolio choice and stochastic volatility

DOI10.1002/asmb.898zbMath1286.91126OpenAlexW1966713262MaRDI QIDQ5414493

Anne Gron, Bjørn N. Jorgensen, Nicholas G. Polson

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.898

zbMATH Keywords

stochastic volatilityrisk aversionportfolio choiceCAPMStein's lemma

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) General equilibrium theory (91B50) Portfolio theory (91G10)

Related Items (3)

Stein's lemma for truncated elliptical random vectors ⋮ Business-cycle pattern of asset returns: a general equilibrium explanation ⋮ A stochastic volatility model and optimal portfolio selection

Cites Work

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• The Role of Learning in Dynamic Portfolio Decisions *

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