Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. |
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Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (English)
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27 January 2022
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dynamic programming
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quadratic-affine processes
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expected utility
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portfolio optimization
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4/2 stochastic volatility
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