Pages that link to "Item:Q2712771"
From MaRDI portal
The following pages link to Optimal portfolio in a fractional Black \& Scholes market (Q2712771):
Displaying 7 items.
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295) (← links)
- A stochastic maximum principle for processes driven by fractional Brownian motion. (Q1766033) (← links)
- Multiparameter Fractional Brownian Motion And Quasi-Linear Stochastic Partial Differential Equations (Q2747859) (← links)
- Dynamic below-target semi-variance risk measure in a fractional Black-Scholes market (Q2916596) (← links)
- (Q3117148) (← links)
- Portfolio Optimization in Fractional and Rough Heston Models (Q5112724) (← links)
- Optimal portfolio under fractional stochastic environment (Q5241559) (← links)