Robust general equilibrium under stochastic volatility model

Finance Research Letters

Volumn 7, Issue 4, 2010, Pages 224-231

  Xu, Weidong ^a   Wu, Chongfeng ^a   Li, Hongyi ^b  

^a SHANGHAI JIAO TONG UNIVERSITY   (China)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Equity premium; General equilibrium; Robust control; Stochastic volatility model

Indexed keywords

EID: 78649483569     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2010.05.002     Document Type: Article

References (15)

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