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Portfolio optimization and a factor model in a stochastic volatility market - MaRDI portal

Portfolio optimization and a factor model in a stochastic volatility market (Q3426318)

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Portfolio optimization and a factor model in a stochastic volatility market
scientific article

    Statements

    title
    Portfolio optimization and a factor model in a stochastic volatility market (English)
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    author
    Carl Lindberg
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    published in
    Stochastics
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    publication date
    8 March 2007
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    zbMATH Keywords
    stochastic control
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    portfolio optimization
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    verification theorem
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    Feynman-Kac formula
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    stochastic volatility
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    non-Gaussian Ornstein-Uhlenbeck process
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    cites work
    Q4503250
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    Q4255465
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    Q4509488
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    60H30
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    49L20
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    60H10
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    zbMATH DE Number
    5132259
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    OpenAlex ID
    W3122055519
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