An ε-Optimal Portfolio with Stochastic Volatility

DOI10.1163/1569396054027256zbMath1133.91023OpenAlexW4252957319MaRDI QIDQ3023649

Abdelali Gabih, Wilfried Grecksch

Publication date: 5 July 2005

Full work available at URL: https://doi.org/10.1163/1569396054027256

zbMATH Keywords

stochastic volatilityportfolio optimizationtime-discrete approximation\(\varepsilon\)-optimal control

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20)

Related Items (1)

PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS

Cites Work

• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Risk-sensitive dynamic asset management
• An optimal consumption model with stochastic volatility
• A solution approach to valuation with unhedgeable risks

This page was built for publication: An ε-Optimal Portfolio with Stochastic Volatility