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Optimal investment with correlated stochastic volatility factors - MaRDI portal

Optimal investment with correlated stochastic volatility factors (Q6054456)

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scientific article; zbMATH DE number 7743106
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English
Optimal investment with correlated stochastic volatility factors
scientific article; zbMATH DE number 7743106

    Statements

    title
    Optimal investment with correlated stochastic volatility factors (English)
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    author
    Maxim Bichuch
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    Jean-Pierre Fouque
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    publication date
    28 September 2023
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    zbMATH Keywords
    asymptotic analysis
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    optimal investment
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    stochastic volatility
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    utility maximization
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    Identifiers

    arXiv ID
    1908.07626
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    DOI
    10.1111/mafi.12371
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    zbMATH DE Number
    7743106
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    OpenAlex ID
    W2969990099
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