Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment (Q5150069)
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scientific article; zbMATH DE number 7308311
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment |
scientific article; zbMATH DE number 7308311 |
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Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment (English)
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9 February 2021
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optimal portfolio
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multiscale stochastic volatility
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asymptotic optimality
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epsilon-martingale decomposition
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regular and singular perturbations
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