Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets (Q6649938)
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scientific article; zbMATH DE number 7955240
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets |
scientific article; zbMATH DE number 7955240 |
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Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets (English)
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6 December 2024
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portfolio optimization
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Hamilton-Jacobi-Bellman equation
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quantitative finance
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utility function
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correlated Brownian motions
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