Optimal portfolio choice and stochastic volatility

DOI10.1002/asmb.898zbMath1286.91126MaRDI 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 volatility; risk aversion; portfolio choice; CAPM; Stein's lemma

Mathematics Subject Classification ID

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G20: Derivative securities (option pricing, hedging, etc.)

91B50: General equilibrium theory

91G10: Portfolio theory

Related Items

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

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