Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets (Q5029934)
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scientific article; zbMATH DE number 7473851
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| English | Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets |
scientific article; zbMATH DE number 7473851 |
Statements
Sub- and Supersolution Approach to Accuracy Analysis of Portfolio Optimization Asymptotics in Multiscale Stochastic Factor Markets (English)
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15 February 2022
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portfolio optimization
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utility maximization
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stochastic volatility
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rigorous asymptotics
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subsolution
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supersolution
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0.8067164421081543
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0.8048650622367859
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0.7904821038246155
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0.7734847068786621
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