Portfolio optimization and a factor model in a stochastic volatility market

DOI10.1080/17442500600900723zbMath1280.91152OpenAlexW3122055519MaRDI QIDQ3426318

Carl Lindberg

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500600900723

zbMATH Keywords

stochastic controlstochastic volatilityFeynman-Kac formulaportfolio optimizationverification theoremnon-Gaussian Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (4)

HARA frontiers of optimal portfolios in stochastic markets ⋮ An Optimal Consumption Problem for General Factor Models ⋮ A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities ⋮ The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity

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