An optimal investment model with Markov-driven volatilities

DOI10.1080/14697688.2011.596487zbMath1402.91719OpenAlexW2108433302MaRDI QIDQ5245919

Xudong Zeng, Shangzhen Luo

Publication date: 16 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.596487

zbMATH Keywords

dynamic programmingstochastic controlportfolio optimizationutility functions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Optimal stochastic control (93E20) Diffusion processes (60J60) Portfolio theory (91G10)

Cites Work

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