Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025): Difference between revisions

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Latest revision as of 14:16, 7 July 2024

scientific article; zbMATH DE number 6279825
Language Label Description Also known as
English
Optimal Portfolios for Financial Markets with Wishart Volatility
scientific article; zbMATH DE number 6279825

    Statements

    Optimal Portfolios for Financial Markets with Wishart Volatility (English)
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    4 April 2014
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    Wishart process
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    portfolio problem
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    CRRA utility
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    stochastic control
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    Hamilton-Jacobi-Bellman equation
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    matrix exponential
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