Portfolio optimization and a factor model in a stochastic volatility market (Q3426318): Difference between revisions
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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 |
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Portfolio optimization and a factor model in a stochastic volatility market (English)
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8 March 2007
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stochastic control
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portfolio optimization
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verification theorem
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Feynman-Kac formula
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stochastic volatility
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non-Gaussian Ornstein-Uhlenbeck process
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