Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion (Q2358311)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
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Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion (English)
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14 June 2017
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optimal portfolio
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mean-variance utility
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stochastic volatility
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Nash equilibrium theory
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Hamilton-Jacobi-Bellman equation
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