Portfolio optimization and a factor model in a stochastic volatility market (Q3426318): Difference between revisions

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Latest revision as of 15:41, 25 June 2024

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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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