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

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Latest revision as of 20:24, 27 July 2024

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