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- Title:
Bayesian Learning in an Affine GARCH Model with Application to Portfolio Optimization
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Escobar-Anel, Marcos ; Speck, Max ; Zagst, Rudi
- Keywords:
- Article ; Affine GARCH ; Bayesian learning ; wealth equivalent loss ; 62C10 ; 91G10 ; 62M10
- Journal title:
- Mathematics
- Year:
- 2024
- Journal volume:
- 12
- Journal issue:
- 11
- Fulltext / DOI:
- doi:10.3390/math12111611
- Publisher:
- MDPI
- E-ISSN:
- 2227-7390
- Date of publication:
- 21.05.2024
- CC license:
- by, https://creativecommons.org/licenses/by/4.0
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