Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment (Q5742993)
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scientific article; zbMATH DE number 7052342
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment |
scientific article; zbMATH DE number 7052342 |
Statements
Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment (English)
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8 May 2019
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optimal portfolio
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rough stochastic volatility
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fractional Ornstein-Uhlenbeck process
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martingale distortion
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asymptotic optimality
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