Multiperiod consumption and portfolio decisions under the multivariate GARCH model with transaction costs and CVaR-based risk control.
Zhiping ChenPublished in: OR Spectr. (2005)
Keyphrases
- transaction costs
- portfolio management
- portfolio selection
- portfolio optimization
- investment decisions
- risk averse
- stock market
- stock exchange
- garch model
- risk measures
- robust optimization
- decision making
- decision makers
- stock price
- risk management
- financial markets
- multivariate time series
- sar images
- supply chain
- multiresolution
- feature extraction