Parameter identification for portfolio optimization with a slow stochastic factor
DOI10.1515/JIIP-2020-0156zbMath1502.35175OpenAlexW4283217253MaRDI QIDQ2101109
Publication date: 28 November 2022
Published in: Journal of Inverse and Ill-Posed Problems (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/jiip-2020-0156
inverse problemsasymptotic approximationportfolio optimizationparameter identification problemslow stochastic factor
Monte Carlo methods (65C05) Asymptotic behavior of solutions to PDEs (35B40) Stability in context of PDEs (35B35) Brownian motion (60J65) Inverse problems for PDEs (35R30) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Uniqueness problems for PDEs: global uniqueness, local uniqueness, non-uniqueness (35A02)
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