Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model
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Publication:5019593
DOI10.1137/21M1412281zbMath1480.91269arXiv2104.06293OpenAlexW3152966437MaRDI QIDQ5019593
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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/2104.06293
Hamilton-Jacobi-Bellman equationLévy processesportfolio optimizationutility functionquantitative finance
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Portfolio theory (91G10)
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