The SEV-SV Model—Applications in Portfolio Optimization
This paper introduces and studies a new family of diffusion models for stock prices with applications in portfolio optimization. The diffusion model combines (stochastic) elasticity of volatility (EV) and stochastic volatility (SV) to create the SEV-SV model. In particular, we focus on the SEV compo...
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| Autori principali: | , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2023-01-01
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| Serie: | Risks |
| Soggetti: | |
| Accesso online: | https://www.mdpi.com/2227-9091/11/2/30 |
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