Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (Q404585)
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scientific article
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| English | Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models |
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Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models (English)
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4 September 2014
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quadratic BSDEs
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affine processes
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Wishart processes
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utility maximization
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stochastic volatility
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explicit solution
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0.92540056
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0.9166781
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0.91630244
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0.91165745
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0.9099931
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0.9033561
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0.9030574
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