Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.amc.2021.126836 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W4200238892 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Pricing of Options and Corporate Liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment for an insurer with cointegrated assets: CRRA utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: HARA utility maximization in a Markov-switching bond–stock market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-Variance Portfolio Selection with Random Parameters in a Complete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance portfolio selection with correlation risk / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time-Inconsistent Stochastic Linear--Quadratic Control / rank
 
Normal rank
Property / cites work
 
Property / cites work: Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Strategic asset allocation / rank
 
Normal rank
Property / cites work
 
Property / cites work: The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computation of optimal portfolios using simulation-based dimension reduction / rank
 
Normal rank
Property / cites work
 
Property / cites work: Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Convergence Analysis / rank
 
Normal rank
Property / cites work
 
Property / cites work: Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns / rank
 
Normal rank
Property / cites work
 
Property / cites work: Lasso-based simulation for high-dimensional multi-period portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment under multi-factor stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolios with stochastic interest rates and defaultable assets. / rank
 
Normal rank

Latest revision as of 21:24, 27 July 2024

scientific article
Language Label Description Also known as
English
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models.
scientific article

    Statements

    Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (English)
    0 references
    0 references
    0 references
    27 January 2022
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    dynamic programming
    0 references
    quadratic-affine processes
    0 references
    expected utility
    0 references
    portfolio optimization
    0 references
    4/2 stochastic volatility
    0 references
    0 references