Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 21:05, 1 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. |
scientific article |
Statements
Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (English)
0 references
27 January 2022
0 references
dynamic programming
0 references
quadratic-affine processes
0 references
expected utility
0 references
portfolio optimization
0 references
4/2 stochastic volatility
0 references
