Closed-form portfolio optimization under GARCH models
Author:
Funder
NSERC
Publisher
Elsevier BV
Subject
Management Science and Operations Research,Control and Optimization,Strategy and Management,Statistics and Probability
Reference28 articles.
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3. Lifetime portfolio selection by dynamic stochastic programming;Samuelson;Rev Econ Stat,1969
4. Lifetime portfolio selection under uncertainty: The continuous-time case;Merton;Rev Econ Stat,1969
5. Empirical properties of asset returns: stylized facts and statistical issues;Cont;Quant Finance,2001
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