An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments (Q2445986)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments |
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An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments (English)
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15 April 2014
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stochastic volatility model
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Hamilton-Jacobi-Bellman equation
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utility function
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ruin probability
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