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Titel:

Expected Utility Theory on General Affine GARCH Models

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
Expected utility theory has produced abundant analytical results in continuous-time finance, but with very little success for discrete-time models. Assuming the underlying asset price follows a general affine GARCH model which allows for non-Gaussian innovations, our work produces an approximate closed-form recursive representation for the optimal strategy under a constant relative risk aversion (CRRA) utility function. We provide conditions for optimality and demonstrate that the optimal wealth...     »
Stichworte:
Dynamic portfolio optimization, affine GARCH models, non-Gaussian innovations, IG-GARCH model, expected utility theory, wealth-equivalent loss
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Applied Mathematical Finance
Journal gelistet in FT50 Ranking:
nein
Jahr:
2021
Band / Volume:
28
Jahr / Monat:
2022-07
Heft / Issue:
6
Seitenangaben Beitrag:
477-507
Nachgewiesen in:
Scopus
Volltext / DOI:
doi:10.1080/1350486x.2022.2101010
WWW:
https://www.tandfonline.com/doi/full/10.1080/1350486X.2022.2101010
Verlag / Institution:
Informa UK Limited
E-ISSN:
1350-486X1466-4313
Status:
Verlagsversion / published
Eingereicht (bei Zeitschrift):
30.11.2021
Angenommen (von Zeitschrift):
07.07.2022
Publikationsdatum:
24.07.2022
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
SDG:
;
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