Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model

DOI10.1137/19M1299165zbMath1461.91270OpenAlexW3131709467MaRDI QIDQ4987715

Nuno F. M. Martins, Diogo Pereira, Fernanda Cipriano

Publication date: 4 May 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/19m1299165

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic volatilityutility functionFeynman-Kac representationportfolio problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

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Cites Work

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