Portfolio optimization and a factor model in a stochastic volatility market (Q3426318)
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scientific article; zbMATH DE number 5132259
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| English | Portfolio optimization and a factor model in a stochastic volatility market |
scientific article; zbMATH DE number 5132259 |
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Portfolio optimization and a factor model in a stochastic volatility market (English)
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8 March 2007
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stochastic control
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portfolio optimization
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verification theorem
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Feynman-Kac formula
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stochastic volatility
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non-Gaussian Ornstein-Uhlenbeck process
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0.9402718
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0.9217448
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0.9216379
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0.9188018
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0.91613847
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0.91481453
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0.91208136
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0.9108735
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