Portfolio optimization and a factor model in a stochastic volatility market (Q3426318): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1080/17442500600900723 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W3122055519 / rank | |||
Normal rank |
Revision as of 20:36, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Portfolio optimization and a factor model in a stochastic volatility market |
scientific article |
Statements
Portfolio optimization and a factor model in a stochastic volatility market (English)
0 references
8 March 2007
0 references
stochastic control
0 references
portfolio optimization
0 references
verification theorem
0 references
Feynman-Kac formula
0 references
stochastic volatility
0 references
non-Gaussian Ornstein-Uhlenbeck process
0 references