Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment

DOI10.1080/1350486X.2019.1584532zbMath1411.91498arXiv1804.03002OpenAlexW2963695416MaRDI QIDQ5742993

Jean-Pierre Fouque, Ruimeng Hu

Publication date: 8 May 2019

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.03002

zbMATH Keywords

optimal portfolioasymptotic optimalityfractional Ornstein-Uhlenbeck processrough stochastic volatilitymartingale distortion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Portfolio theory (91G10)

Related Items

TRADING MULTIPLE MEAN REVERSION ⋮ Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ Optimal Hedging Under Fast-Varying Stochastic Volatility

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