Risk management under a factor stochastic volatility model

DOI10.1142/S0217595911003053MaRDI QIDQ3083549zbMATH OpenFDO

Authors M. Escobar, Pablo Olivares

Publication date 22 March 2011

Published in Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

factor modelsexpected shortfallvalue at riskportfolio managementstochastic correlation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Portfolio optimization and a factor model in a stochastic volatility market
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Cites work

• Stochastic volatility models as hidden Markov models and statistical applications
• Wishart processes

Cited in

(4)

• Study of stock index risk measures
• Stochastic Risk Analysis and Management
• A model-free identification of relative risk
• Estimating the constant elasticity of variance model with data-driven Markov chain Monte Carlo methods

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