Mean-variance portfolio selection under Volterra Heston model

DOI10.1007/s00245-020-09658-3zbMath1470.91242arXiv1904.12442OpenAlexW3098958388WikidataQ126290749 ScholiaQ126290749MaRDI QIDQ2045133

Hoi Ying Wong, Bingyan Han

Publication date: 11 August 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.12442

zbMATH Keywords

mean-variance portfoliorough volatilityRiccati-Volterra equationsVolterra Heston model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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