Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility

DOI10.1155/2020/9548060zbMath1445.91057OpenAlexW3045851753MaRDI QIDQ2205342

Qiang Zhang, Lei Ge

Publication date: 20 October 2020

Published in: Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/9548060

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Portfolio theory (91G10)

Cites Work

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