Portfolio optimization under the stochastic elasticity of variance (Q5170138)
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scientific article; zbMATH DE number 6318403
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under the stochastic elasticity of variance |
scientific article; zbMATH DE number 6318403 |
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Portfolio optimization under the stochastic elasticity of variance (English)
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18 July 2014
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portfolio optimization
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stochastic elasticity of variance
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dynamic programming
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multiscale
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Hamilton-Jacobi-Bellman equation
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