Strategic asset allocation with factor models for returns and garch models for volatilities

Proceedings of the IASTED International Conference on Modelling, Simulation, and Optimization

Volumn , Issue , 2004, Pages 59-65

  Herzog, Florian ^a   Dondi, Gabriel ^a   Geering, Hans P ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

And Finance; Optimal Control; Portfolio Management; Statistical and Probabilistic Modelling; Stochastic Optimization

Indexed keywords

CORRELATION METHODS; DECISION THEORY; DISCRETE TIME CONTROL SYSTEMS; INVESTMENTS; OPTIMIZATION; PROBABILITY; PROBLEM SOLVING; RANDOM PROCESSES; RISK ASSESSMENT; STATISTICAL METHODS;

OPTIMAL CONTROL; PORTFOLIO MANAGEMENT; STATISTICAL AND PROBABILISTIC MODELLING; STOCHASTIC OPTIMIZATION;

STRATEGIC PLANNING;

EID: 10444238526     PISSN: 10218181     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (12)

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