Mean-variance portfolio selection based on a generalized BNS stochastic volatility model (Q2885567)
From MaRDI portal
!
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 6037927
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Mean-variance portfolio selection based on a generalized BNS stochastic volatility model |
scientific article; zbMATH DE number 6037927 |
Statements
Mean–variance portfolio selection based on a generalized BNS stochastic volatility model (English)
0 references
23 May 2012
0 references
mean-variance portfolio selection
0 references
non-Gaussian Ornstein-Uhlenbeck process
0 references
generalized Black-Scholes model
0 references
optimal feedback control
0 references
integro-partial differential equation
0 references
0 references
0 references
0 references
0.8049142956733704
0 references
0.794215977191925
0 references
0.7927232980728149
0 references
0.7871670126914978
0 references
0.7868212461471558
0 references
