Multiscale Asymptotic Analysis for Portfolio Optimization under Stochastic Environment

DOI10.1137/19M1245967zbMath1458.91193arXiv1902.06883MaRDI QIDQ5150069

Jean-Pierre Fouque, Ruimeng Hu

Publication date: 9 February 2021

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.06883

zbMATH Keywords

optimal portfolioasymptotic optimalityregular and singular perturbationsmultiscale stochastic volatilityepsilon-martingale decomposition

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Asymptotic expansions of solutions to PDEs (35C20) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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