Closed-form portfolio optimization under GARCH models

Keyphrases

• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 100%
• Portfolio Optimization 100%
• Terminal Wealth 66%
• Heston 66%
• Value Function 33%
• Continuous-time 33%
• Affine 33%
• Loss Analysis 33%
• Optimal Strategy 33%
• Closed Formula 33%
• Expected Utility 33%
• Campbell 33%
• Risky Assets 33%
• Optimal Investment 33%
• GARCH (1,1) Model 33%
• Kraft 33%
• Log-returns 33%
• Merton 33%
• Heston Stochastic Volatility Model 33%
• Nandus Nandus 33%
• Optimal Portfolio Allocation 33%
• Allocation Formula 33%
• Constant Relative Risk Aversion 33%

Mathematics

• Closed Form 100%
• GARCH Model 100%
• Approximates 50%
• Variance 50%
• Function Value 50%
• Two Dimensions 50%
• Optimal Strategy 50%
• Additional Condition 50%
• Stochastic Volatility Model 50%
• Risk Aversion 50%
• Relative Risk 50%
• Continuous Time 50%
• Risky Asset 50%

Economics, Econometrics and Finance

• Portfolio Selection 100%
• Wealth 100%
• ARCH Model 100%
• Generalized Autoregressive Conditional Heteroskedasticity 66%
• Investors 33%
• Volatility 33%
• Investment Strategies 33%
• Continuous Time 33%