Mean–variance portfolio selection based on a generalized BNS stochastic volatility model (Q2885567)
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scientific article; zbMATH DE number 6037927
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean–variance portfolio selection based on a generalized BNS stochastic volatility model |
scientific article; zbMATH DE number 6037927 |
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Mean–variance portfolio selection based on a generalized BNS stochastic volatility model (English)
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23 May 2012
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mean-variance portfolio selection
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non-Gaussian Ornstein-Uhlenbeck process
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generalized Black-Scholes model
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optimal feedback control
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integro-partial differential equation
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