PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (Q5283401): Difference between revisions

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+https://doi.org/10.1111/mafi.12109
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+W3121177045
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@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
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+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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+Does relative risk aversion vary with wealth? Evidence from households portfolio choice data
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+Portfolio Choice under Space-Time Monotone Performance Criteria
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+Continuous-time stochastic control and optimization with financial applications
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+Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
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+A solution approach to valuation with unhedgeable risks
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