Optimal Portfolios for Financial Markets with Wishart Volatility (Q5407025)
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scientific article; zbMATH DE number 6279825
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Portfolios for Financial Markets with Wishart Volatility |
scientific article; zbMATH DE number 6279825 |
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Optimal Portfolios for Financial Markets with Wishart Volatility (English)
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4 April 2014
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Wishart process
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portfolio problem
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CRRA utility
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stochastic control
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Hamilton-Jacobi-Bellman equation
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matrix exponential
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