Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy (Q5215987): Difference between revisions

Latest revision as of 14:57, 30 July 2024

scientific article; zbMATH DE number 7167421

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English	Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy	scientific article; zbMATH DE number 7167421

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instance of

scholarly article

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title

Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy (English)

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zbMATH Open document ID

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SIAM Journal on Financial Mathematics

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publication date

14 February 2020

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full work available at URL

https://epubs.siam.org/doi/pdf/10.1137/19M124681X

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Mathematics Subject Classification ID

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optimal investment and consumption

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subsistence consumption

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stochastic volatility

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asymptotic optimality

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perturbation

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MaRDI profile type

MaRDI publication profile

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cites work

Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

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Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities

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Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment

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PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

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Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment

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An Optimal Consumption Problem for General Factor Models

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Ordinary Differential Equations

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Elliptic partial differential equations of second order

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Q3760262

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Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint

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Optimum consumption and portfolio rules in a continuous-time model

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H-J-B equations of optimal consumption-investment and verification theorems

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Singular Perturbations in Option Pricing

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Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy

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Consumption-investment problem with subsistence consumption, bankruptcy, and random market coefficients

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Portfolio selection with subsistence consumption constraints and CARA utility

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Sitelinks

Mathematics(1 entry)

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+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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+Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities
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+Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment
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+PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
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+Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
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+Optimal consumption and portfolio selection with quadratic utility and a subsistence consumption constraint
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+Optimum consumption and portfolio rules in a continuous-time model
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+H-J-B equations of optimal consumption-investment and verification theorems
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+Singular Perturbations in Option Pricing
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+Normal rank
@@ Property / cites work @@
+Explicit solution of a general consumption/portfolio problem with subsistence consumption and bankruptcy
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+Portfolio selection with subsistence consumption constraints and CARA utility
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