Portfolio optimization under fast mean-reverting and rough fractional stochastic environment (Q5742993)
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scientific article; zbMATH DE number 7052342
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| English | Portfolio optimization under fast mean-reverting and rough fractional stochastic environment |
scientific article; zbMATH DE number 7052342 |
Statements
Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment (English)
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8 May 2019
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optimal portfolio
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rough stochastic volatility
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fractional Ornstein-Uhlenbeck process
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martingale distortion
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asymptotic optimality
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0.8786885738372803
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0.8468056917190552
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0.809968888759613
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0.7800799608230591
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0.7783424258232117
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