Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model (Q5019593)
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scientific article; zbMATH DE number 7454674
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| English | Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model |
scientific article; zbMATH DE number 7454674 |
Statements
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model (English)
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10 January 2022
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Lévy processes
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portfolio optimization
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Hamilton-Jacobi-Bellman equation
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quantitative finance
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utility function
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0.78326815366745
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0.78290194272995
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0.7792187929153442
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0.7753264307975769
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0.7723240256309509
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