Optimal investment under multi-factor stochastic volatility (Q4555076)
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scientific article; zbMATH DE number 6981190
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal investment under multi-factor stochastic volatility |
scientific article; zbMATH DE number 6981190 |
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Optimal investment under multi-factor stochastic volatility (English)
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19 November 2018
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multivariate portfolio choice
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stochastic covariance
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welfare loss
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0.8729499578475952
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0.8177880644798279
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0.8142659664154053
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