"Joint tails impact in stochastic volatility portfolio selection models."

Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza (2020)

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DOI: 10.1007/S10479-020-03531-W

access: closed

type: Journal Article

metadata version: 2024-10-06

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Marco Bonomelli, Rosella Giacometti, Sergio Ortobelli Lozza:
Joint tails impact in stochastic volatility portfolio selection models. Ann. Oper. Res. 292(2): 833-848 (2020)

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