Mean-variance portfolio selection under Volterra Heston model (Q2045133)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 7381017
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Mean-variance portfolio selection under Volterra Heston model |
scientific article; zbMATH DE number 7381017 |
Statements
Mean-variance portfolio selection under Volterra Heston model (English)
0 references
11 August 2021
0 references
mean-variance portfolio
0 references
Volterra Heston model
0 references
Riccati-Volterra equations
0 references
rough volatility
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8549998998641968
0 references
0.8439822196960449
0 references
0.8139255046844482
0 references
0.8097674250602722
0 references
0.794215977191925
0 references
