Optimal strategies for asset allocation and consumption under stochastic volatility
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Publication:274239
DOI10.1016/j.aml.2016.02.005zbMath1335.91075OpenAlexW2279438656MaRDI QIDQ274239
Publication date: 22 April 2016
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2016.02.005
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Cites Work
- An optimal portfolio model with stochastic volatility and stochastic interest rate
- An optimal consumption model with stochastic volatility
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- Optimal portfolio in partially observed stochastic volatility models.
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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