Utility maximization in affine stochastic volatility models (Q3580219)
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scientific article; zbMATH DE number 5769264
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| default for all languages | No label defined |
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| English | Utility maximization in affine stochastic volatility models |
scientific article; zbMATH DE number 5769264 |
Statements
UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (English)
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11 August 2010
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portfolio optimization
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stochastic volatility
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martingale method
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0.8430747985839844
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0.8324349522590637
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0.802394688129425
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0.7973401546478271
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0.7971670031547546
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