Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721)
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scientific article; zbMATH DE number 7343461
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models |
scientific article; zbMATH DE number 7343461 |
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Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (English)
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4 May 2021
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mean-variance portfolio theory
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rough volatility
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correlation matrices
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multidimensional Volterra process
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Riccati equations
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non-Markovian Heston model
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Stein-Stein model
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Wishart model
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