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- Title:
Closed-form portfolio optimization under GARCH models
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Escobar-Anel, Marcos; Gollart, Maximilian; Zagst, Rudi
- Journal title:
- Operations Research Perspectives
- Year:
- 2022
- Journal volume:
- 9
- Pages contribution:
- 100216
- Fulltext / DOI:
- doi:10.1016/j.orp.2021.100216
- Publisher:
- Elsevier BV
- E-ISSN:
- 2214-7160
- Date of publication:
- 01.01.2022
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