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Document type:
Zeitschriftenaufsatz 
Author(s):
Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Robust Multivariate Portfolio Choice With Stochastic Covariance In Presence Of Ambiguity 
Abstract:
This paper provides the optimal multivariate ntertemporal portfolio for an ambiguity averse investor, who has access to stocks and derivative markets, in closed form. The stock prices follow stochastic co-variance processes and the investor can have different levels of uncertainty about the diffusion parts of the stocks and the covariance structure. We find strong evidence that the optimal exposures to stock and covariance risks are significantly affected by ambiguity aversion. Welfare analys...    »
 
Keywords:
Multivariate portfolio choice; Ambiguity; Stochastic covariance; Welfare loss 
Journal title:
Quantitative Finance 
Journal listet in FT50 ranking:
nein 
Year:
2018 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Mission statement: