Portfolio Optimization with Stochastic Volatilities: A Backward Approach

DOI10.1080/07362994.2011.581065MaRDI QIDQ3094218zbMATH OpenOpenAlexFDO

Authors Amina Zeghal, Mohamed Mnif

Publication date 21 October 2011

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2011.581065

zbMATH Keywords

backward stochastic differential equationHamilton-Jacobi-Bellman equationportfolio optimizationsemi-linear partial differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

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• scientific article; zbMATH DE number 158461 (Why is no real title available?)
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• Portfolio optimization with stochastic volatilities and constraints: an application in high dimension
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
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Cited in

(6)

• Portfolio optimization with stochastic volatilities and constraints: an application in high dimension
• Portfolio optimization and a factor model in a stochastic volatility market
• Optimal selection portfolio problem: a semi-linear PDE approach
• Optimal portfolio allocation of commodity related assets using a controlled forward-backward stochastic algorithm
• On the multi-dimensional portfolio optimization with stochastic volatility
• Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach

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