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An optimal investment model with Markov-driven volatilities - MaRDI portal

An optimal investment model with Markov-driven volatilities (Q5245919)

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scientific article; zbMATH DE number 6426109
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English
An optimal investment model with Markov-driven volatilities
scientific article; zbMATH DE number 6426109

    Statements

    title
    An optimal investment model with Markov-driven volatilities (English)
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    author
    Shangzhen Luo
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    Xudong Zeng
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    publication date
    16 April 2015
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    zbMATH Keywords
    portfolio optimization
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    stochastic control
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    dynamic programming
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    utility functions
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    93E20
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    90C39
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    60J60
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    60H10
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    zbMATH DE Number
    6426109
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    OpenAlex ID
    W2108433302
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