Mean-Variance Optimization with Affine GARCH
The study shows that Affine GARCH models are more efficient in portfolio optimization compared to homoscedastic variants.
Featured in No. 32 on 9 Jan 2024 · on release day
- Released
- 9 Jan 2024
- First featured
- No. 32 · 9 Jan 2024
- Published in
- Not yet, as far as Semantic Scholar knows
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- 11
- Identifier
- RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011212
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