Portfolio optimization and a factor model in a stochastic volatility market (Q3426318)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization and a factor model in a stochastic volatility market |
scientific article |
Statements
Portfolio optimization and a factor model in a stochastic volatility market (English)
0 references
8 March 2007
0 references
stochastic control
0 references
portfolio optimization
0 references
verification theorem
0 references
Feynman-Kac formula
0 references
stochastic volatility
0 references
non-Gaussian Ornstein-Uhlenbeck process
0 references
