International portfolio choice under multi-factor stochastic volatility

DOI10.1080/14697688.2021.2019820MaRDI QIDQ5079408zbMATH OpenOpenAlexFDO

Authors Marcos Escobar Anel, Christoph Gschnaidtner, Sebastian E. Ferrando, A. N. Rubtsov

Publication date 27 May 2022

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2021.2019820

zbMATH Keywords

foreign exchange marketsinternational portfolio choiceportfolio choice with stochastic covariancewelfare loss analysis

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A multivariate stochastic volatility model with applications in the foreign exchange market
• Algorithm 963: Estimation of stochastic covariance models using a continuum of moment conditions
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• Estimation of affine asset pricing models using the empirical characteristic function
• Generalization of GMM to a continuum of moment conditions
• Hedging (co)variance risk with variance swaps
• Optimal portfolios for financial markets with Wishart volatility
• Optimum consumption and portfolio rules in a continuous-time model
• Pricing a CDO on stochastically correlated underlyings
• Pricing of mountain range derivatives under a principal component stochastic volatility model
• Riding on the smiles
• Spectral GMM estimation of continuous-time processes
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well

Cited in

(12)

• International portfolio flows with growth shocks
• A dynamic stochastic programming model for international portfolio management
• Should Americans invest internationally? Mean-variance portfolios optimization and stochastic dominance approaches
• scientific article; zbMATH DE number 1500693 (Why is no real title available?)
• A Dynamic Equilibrium Model of International Portfolio Holdings
• International diversification benefits with foreign exchange investment styles
• Optimal investment under multi-factor stochastic volatility
• International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors
• International portfolio optimization based on uncertainty theory
• International portfolio selection model with exchange rate risk
• A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
• Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks

Describes a project that uses

Uses Software

• Algorithm 963

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