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Joint tails impact in stochastic volatility portfolio selection models

Crossref DOI link: https://doi.org/10.1007/s10479-020-03531-w

Published Online: 2020-02-15

Published Print: 2020-09

Update policy: https://doi.org/10.1007/springer_crossmark_policy

Authors

Bonomelli, Marco

Giacometti, Rosella https://orcid.org/0000-0002-9761-3529
Ortobelli Lozza, Sergio
Funding

Funding for this research was provided by:

gacr (19-11965S)
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Article History

First Online: 15 February 2020