Optimal portfolio management in a modified constant elasticity of variance model (Q1742187)
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scientific article; zbMATH DE number 6858335
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| English | Optimal portfolio management in a modified constant elasticity of variance model |
scientific article; zbMATH DE number 6858335 |
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Optimal portfolio management in a modified constant elasticity of variance model (English)
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11 April 2018
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stochastic optimal control
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statistical arbitrage
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M-CEV model
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boundary-value problem
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0.8309489488601685
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0.8033097386360168
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0.7979130148887634
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0.7964416742324829
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