Portfolio Optimization with Stochastic Volatilities: A Backward Approach (Q3094218): Difference between revisions
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Revision as of 11:58, 1 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Optimization with Stochastic Volatilities: A Backward Approach |
scientific article |
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Portfolio Optimization with Stochastic Volatilities: A Backward Approach (English)
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21 October 2011
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portfolio optimization
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Hamilton-Jacobi-Bellman equation
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semi-linear partial differential equation
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backward stochastic differential equation
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