Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
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Publication:2103521
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Cited in
(17)- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Numerical solutions to optimal portfolio selection and consumption strategies under stochastic volatility
- Optimal portfolio selection of mean-variance utility with stochastic interest rate
- Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
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- Pareto optimal cooperative control of mean-field backward stochastic differential system in finite horizon
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