Mean–variance portfolio selection based on a generalized BNS stochastic volatility model (Q2885567)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean–variance portfolio selection based on a generalized BNS stochastic volatility model |
scientific article |
Statements
Mean–variance portfolio selection based on a generalized BNS stochastic volatility model (English)
0 references
23 May 2012
0 references
mean-variance portfolio selection
0 references
non-Gaussian Ornstein-Uhlenbeck process
0 references
generalized Black-Scholes model
0 references
optimal feedback control
0 references
integro-partial differential equation
0 references
