A stochastic volatility model and optimal portfolio selection (Q2871407)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic volatility model and optimal portfolio selection |
scientific article |
Statements
A stochastic volatility model and optimal portfolio selection (English)
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23 January 2014
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optimal portfolio
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HJB equation
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stochastic volatility
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Heston model
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square-root process
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