Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model (Q5019593)
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scientific article; zbMATH DE number 7454674
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model |
scientific article; zbMATH DE number 7454674 |
Statements
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model (English)
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10 January 2022
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Lévy processes
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portfolio optimization
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Hamilton-Jacobi-Bellman equation
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quantitative finance
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utility function
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