Optimal Portfolios for Financial Markets with Wishart Volatility

DOI10.1239/jap/1389370097zbMath1283.93306OpenAlexW2033049071MaRDI QIDQ5407025

Zejing Li, Nicole Bäuerle

Publication date: 4 April 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1389370097

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlmatrix exponentialWishart processCRRA utilityportfolio problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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