Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption (Q6648741)
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scientific article; zbMATH DE number 7954229
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption |
scientific article; zbMATH DE number 7954229 |
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Portfolio problem for the \(\alpha\)-hypergeometric stochastic volatility model with consumption (English)
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5 December 2024
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Feynman-Kac representation
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Hamilton-Jacobi-Bellman equation
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portfolio problem
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stochastic volatility
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utility function
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