Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
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Publication:6649938
DOI10.1142/s0219024924500237MaRDI QIDQ6649938
Indranil SenGupta, Minglian Lin
Publication date: 6 December 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationportfolio optimizationutility functionquantitative financecorrelated Brownian motions
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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