Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment
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Publication:5742993
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
optimal portfolioasymptotic optimalityfractional Ornstein-Uhlenbeck processrough stochastic volatilitymartingale distortion
Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Portfolio theory (91G10)
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TRADING MULTIPLE MEAN REVERSION ⋮ Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment ⋮ Optimal Hedging Under Fast-Varying Stochastic Volatility
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