Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model (Q4987715): Difference between revisions
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Latest revision as of 11:48, 30 July 2024
scientific article; zbMATH DE number 7343456
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model |
scientific article; zbMATH DE number 7343456 |
Statements
Optimal Portfolio for the $\alpha$-Hypergeometric Stochastic Volatility Model (English)
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4 May 2021
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Feynman-Kac representation
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Hamilton-Jacobi-Bellman equation
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portfolio problem
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stochastic volatility
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utility function
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