On the multi-dimensional portfolio optimization with stochastic volatility (Q5236140)
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scientific article; zbMATH DE number 7117249
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the multi-dimensional portfolio optimization with stochastic volatility |
scientific article; zbMATH DE number 7117249 |
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On the multi-dimensional portfolio optimization with stochastic volatility (English)
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15 October 2019
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semilinear partial differential equation
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stochastic volatility
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smooth solution
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Hamilton-Jacobi-Bellman equation
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time-dependent
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utility optimization
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