Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion (Q2358311): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 06:51, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
scientific article |
Statements
Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion (English)
0 references
14 June 2017
0 references
optimal portfolio
0 references
mean-variance utility
0 references
stochastic volatility
0 references
Nash equilibrium theory
0 references
Hamilton-Jacobi-Bellman equation
0 references
