Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models

DOI10.1137/20M1347449zbMath1460.91243arXiv2006.13539MaRDI QIDQ4987721

Eduardo Abi Jaber, Huyên Pham, Enzo Miller

Publication date: 4 May 2021

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

Full work available at URL: https://arxiv.org/abs/2006.13539

zbMATH Keywords

Riccati equationscorrelation matricesmean-variance portfolio theoryWishart modelrough volatilityStein-Stein modelmultidimensional Volterra processnon-Markovian Heston model

Mathematics Subject Classification ID

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

Related Items (7)

Utility Maximization in Multivariate Volterra Models ⋮ Pairs trading under delayed cointegration ⋮ American Options in the Volterra Heston Model ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Volterra square-root process: stationarity and regularity of the law ⋮ VIX pricing in the rBergomi model under a regime switching change of measure

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