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Title:

Robust Multivariate Portfolio Choice With Stochastic Covariance In Presence Of Ambiguity

Document type:
Zeitschriftenaufsatz
Author(s):
Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
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 analyse...     »
Keywords:
Multivariate portfolio choice; Ambiguity; Stochastic covariance; Welfare loss
Intellectual Contribution:
Discipline-based Research
Journal title:
Quantitative Finance
Journal listet in FT50 ranking:
nein
Year:
2018
Fulltext / DOI:
doi:10.1080/14697688.2018.1429647
TUM Institution:
Lehrstuhl für Finanzmathematik
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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