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Titel:

Robust Multivariate Portfolio Choice With Stochastic Covariance In Presence Of Ambiguity

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Bergen, V.; Escobar, M.; Rubtsov, A.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
Multivariate portfolio choice; Ambiguity; Stochastic covariance; Welfare loss
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Quantitative Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2018
Volltext / DOI:
doi:10.1080/14697688.2018.1429647
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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