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Titel:

Mean–variance optimization under affine GARCH: A utility-based solution

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Escobar-Anel, Marcos; Spies, Ben; Zagst, Rudi
Nicht-TUM Koautoren:
ja
Kooperation:
international
Abstract:
Affine GARCH models have recently been explored in the context of portfolio optimization, although in a quite narrow setting in terms of utility functions and risk aversion. This work notably extends existing results, accommodating a richer class of objective functions for a large family of GARCH models. In particular, our approach allows for connections to constant proportion portfolio insurance (CPPI) and mean–variance portfolio strategies. We explore the latter numerically based on S&P; 500 mar...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Finance Research Letters
Journal gelistet in FT50 Ranking:
nein
Jahr:
2024
Band / Volume:
59
Jahr / Monat:
2024-01
Heft / Issue:
104749
Nachgewiesen in:
Scopus
Volltext / DOI:
doi:10.1016/j.frl.2023.104749
WWW:
https://www.sciencedirect.com/science/article/abs/pii/S1544612323011212
Verlag / Institution:
Elsevier BV
E-ISSN:
1544-6123
Impact Factor:
10.4
Scimago-Quartil:
Q1
Status:
Verlagsversion / published
Eingereicht (bei Zeitschrift):
29.09.2023
Angenommen (von Zeitschrift):
14.11.2023
Publikationsdatum:
20.11.2023
Urteilsbesprechung:
0
Key publication:
Ja
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
SDG:
;
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