Mean-variance portfolio selection under Volterra Heston model (Q2045133)
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scientific article
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| English | Mean-variance portfolio selection under Volterra Heston model |
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Mean-variance portfolio selection under Volterra Heston model (English)
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11 August 2021
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mean-variance portfolio
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Volterra Heston model
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Riccati-Volterra equations
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rough volatility
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0.8549998998641968
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0.8439822196960449
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0.8139255046844482
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0.8097674250602722
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0.794215977191925
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