Portfolio Optimization in Fractional and Rough Heston Models
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Publication:5112724
DOI10.1137/18M1217243zbMath1437.91403arXiv1809.10716MaRDI QIDQ5112724
Sascha Desmettre, Nicole Bäuerle
Publication date: 8 June 2020
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.10716
Hamilton-Jacobi-Bellman equationstochastic controlrough pathsHeston modelfractional stochastic processesFeynman-Kac respresentation
Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Utility Maximization in Multivariate Volterra Models ⋮ Integral representation of generalized grey Brownian motion ⋮ Stochastic analysis for vector-valued generalized grey Brownian motion ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Large deviations for fractional volatility models with non-Gaussian volatility driver ⋮ Mean-variance portfolio selection under Volterra Heston model ⋮ Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models ⋮ Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge ⋮ Time-Inconsistency with Rough Volatility
Uses Software
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