Robust portfolio optimization with multi-factor stochastic volatility
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Cited by:
- Wujun Lv & Tao Pang & Xiaobao Xia & Jingzhou Yan, 2023. "Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
- Chen, Xingjiang & Ruan, Xinfeng & Zhang, Wenjun, 2021. "Dynamic portfolio choice and information trading with recursive utility," Economic Modelling, Elsevier, vol. 98(C), pages 154-167.
- Ben-Zhang Yang & Xin-Jiang He & Song-Ping Zhu, 2020. "Continuous time mean-variance-utility portfolio problem and its equilibrium strategy," Papers 2005.06782, arXiv.org, revised Nov 2020.
- Ben-Zhang Yang & Xin-Jiang He & Song-Ping Zhu, 2020. "Mean-variance-utility portfolio selection with time and state dependent risk aversion," Papers 2007.06510, arXiv.org, revised Aug 2020.
- See-Woo Kim & Yong-Ki Ma & Ciprian Necula, 2023. "Modeling Tail Dependence Using Stochastic Volatility Model," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 129-147, June.
- Ying Zhao & Hui Mi & Lixia Xu, 2022. "Robust Optimal Investment Problem with Delay under Heston’s Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1271-1296, June.
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This paper has been announced in the following NEP Reports:- NEP-ORE-2019-10-21 (Operations Research)
- NEP-UPT-2019-10-21 (Utility Models and Prospect Theory)
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