Mean–variance portfolio selection based on a generalized BNS stochastic volatility model

DOI10.1080/00207160.2011.606904zbMath1237.91204OpenAlexW2020703468MaRDI QIDQ2885567

Wan-yang Dai

Publication date: 23 May 2012

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2011.606904

zbMATH Keywords

optimal feedback controlintegro-partial differential equationmean-variance portfolio selectiongeneralized Black-Scholes modelnon-Gaussian Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Portfolio theory (91G10)

Related Items (3)

Convolutional neural network based simulation and analysis for backward stochastic partial differential equations ⋮ Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes ⋮ A non-conservation stochastic partial differential equation driven by anisotropic fractional Lévy random field

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