Time-Inconsistency with Rough Volatility
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Publication:5019592
DOI10.1137/20M136654XzbMath1480.91266arXiv1907.11378MaRDI QIDQ5019592
Publication date: 10 January 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.11378
functional Itô calculustime-inconsistencymean-variance portfolio selectionrough volatilityVolterra Heston model
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Cites Work
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