Asymptotic analysis for portfolio optimization problem under two-factor Heston's stochastic volatility model (Q4582863)
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scientific article; zbMATH DE number 6925122
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| English | Asymptotic analysis for portfolio optimization problem under two-factor Heston's stochastic volatility model |
scientific article; zbMATH DE number 6925122 |
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24 August 2018
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portfolio optimization
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two-factor Heston's model
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stochastic volatility
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asymptotic analysis
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HARA utility
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0.8399352431297302
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0.825117826461792
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0.8206430673599243
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0.8180220127105713
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