Optimal selection portfolio problem: a semi-linear PDE approach (Q4648583)
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scientific article; zbMATH DE number 6104703
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| English | Optimal selection portfolio problem: a semi-linear PDE approach |
scientific article; zbMATH DE number 6104703 |
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Optimal selection portfolio problem: a semi-linear PDE approach (English)
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9 November 2012
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stochastic volatility
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optimal portfolio
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semi-linear partial differential equation
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smooth solution
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backward stochastic differential equation
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regression on function bases
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0.8531981706619263
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0.8244759440422058
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0.8231333494186401
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0.7986005544662476
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