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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
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  • Summary, etc....inverse of the stochastic variance-covariance matrix, it becomes unstable w...
  • Subject HeadingHomothetic robust utility Inflation-deflation risk Stochastic variance-covariance Regularization

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