User: Guest  Login
Title:

Expected Utility Theory on General Affine GARCH Models

Document type:
Zeitschriftenaufsatz
Author(s):
Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Non-TUM Co-author(s):
ja
Cooperation:
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...     »
Keywords:
Dynamic portfolio optimization, affine GARCH models, non-Gaussian innovations, IG-GARCH model, expected utility theory, wealth-equivalent loss
Intellectual Contribution:
Discipline-based Research
Journal title:
Applied Mathematical Finance
Journal listet in FT50 ranking:
nein
Year:
2021
Journal volume:
28
Year / month:
2022-07
Journal issue:
6
Pages contribution:
477-507
Covered by:
Scopus
Fulltext / DOI:
doi:10.1080/1350486x.2022.2101010
WWW:
https://www.tandfonline.com/doi/full/10.1080/1350486X.2022.2101010
Publisher:
Informa UK Limited
E-ISSN:
1350-486X1466-4313
Status:
Verlagsversion / published
Submitted:
30.11.2021
Accepted:
07.07.2022
Date of publication:
24.07.2022
Judgement review:
0
Key publication:
Ja
Peer reviewed:
Ja
International:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
SDG:
;
 BibTeX