Optimal portfolio management in a modified constant elasticity of variance model

DOI10.1007/S10598-018-9393-6zbMath1386.91129OpenAlexW2782283647MaRDI QIDQ1742187

D. L. Muravei

Publication date: 11 April 2018

Published in: Computational Mathematics and Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10598-018-9393-6

zbMATH Keywords

stochastic optimal controlboundary-value problemstatistical arbitrageM-CEV model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Uses Software

• DLMF

Cites Work

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• Markets with transaction costs. Mathematical theory.
• Stochastic calculus for fractional Brownian motion and related processes.
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• A Theory of the Term Structure of Interest Rates
• An Explicit Solution for Optimal Investment in Heston Model
• Consistent pricing and hedging for a modified constant elasticity of variance model
• Financial Modelling with Jump Processes
• A solution approach to valuation with unhedgeable risks

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