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Regularized Robust Strategic Asset Allocation under Stochastic Variance-Covariance of Asset Returns

Regularized Robust Strategic Asset Allocation under Stochastic Variance-Covariance of Asset Returns
Digital文書・図像類
楠田, 浩二, 菊池, 健太郎The Institute for Economic and Business Research Faculty of Economics, Shiga University2024-02Discussion Paper, Series ENo. E-31p.1-39
Other Libraries in Japan
  • Subject HeadingHomothetic robust utility Inflation-deflation risk Stochastic variance-covarianc...

A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand

A Linear Approximate Robust Strategic Asset Allocation with Inflation-Deflation Hedging Demand
Digital文書・図像類
Kikuchi, Kentaro, Kusuda, KoujiThe Institute for Economic and Business Research Faculty of Economics, Shiga University2023-02Discussion Paper, Series ENo. E-21p.1-31
Other Libraries in Japan
  • Subject Heading... timing effect Inflation–deflation risk Stochastic volatility

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