Optimal strategies with option compensation under mean reverting returns or volatilities
type: Item
instance of: scholarly article
title: Optimal strategies with option compensation under mean reverting returns or volatilities
author: Stefano Herzel
author: Marco Nicolosi
published in: Computational Management Science
publication date: 2019-02-18T00:00:00Z
Mathematics Subject Classification ID: 90Bxx
zbMATH DE Number: 7024658
zbMATH Keywords: investment analysis
zbMATH Keywords: portfolio management
zbMATH Keywords: convex incentives
zbMATH Keywords: optimal control
zbMATH Keywords: Fourier transform
zbMATH Keywords: mean reverting processes
MaRDI profile type: Publication
full work available at URL: s10287-017-0296-3
OpenAlex ID: W2776251895
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DOI: 10.1007/S10287-017-0296-3
description: scientific article; zbMATH DE number 7024658