Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control (Q2576693)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control |
scientific article |
Statements
Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and cVaR-based risk control (English)
0 references
14 December 2005
0 references
Consumption and investment problems
0 references
Stochastic programming
0 references
MGARCH model
0 references
CVaR risk measure
0 references
Transaction costs
0 references
