A stochastic volatility model and optimal portfolio selection (Q2871407): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 08:52, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic volatility model and optimal portfolio selection |
scientific article |
Statements
A stochastic volatility model and optimal portfolio selection (English)
0 references
23 January 2014
0 references
optimal portfolio
0 references
HJB equation
0 references
stochastic volatility
0 references
Heston model
0 references
square-root process
0 references
