Asymptotic Approximation of Optimal Portfolio for Small Time Horizons
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Publication:4579841
DOI10.1137/17M1111371zbMath1396.91691arXiv1611.09300OpenAlexW2795570552MaRDI QIDQ4579841
Rohini Kumar, Hussein Nasralah
Publication date: 10 August 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.09300
Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
Related Items (2)
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model ⋮ Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
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