Portfolio optimization with stochastic volatilities and constraints: an application in high dimension

DOI10.1007/S00245-007-0896-3MaRDI QIDQ2471704zbMATH OpenOpenAlexFDO

Authors Mohamed Mnif

Publication date 18 February 2008

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-007-0896-3

zbMATH Keywords

stochastic volatilityoptimal portfoliosmooth solutionsemilinear partial differential equationnumerical convex optimization

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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(12)

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• Optimal investment models with stochastic volatility: the time inhomogeneous case
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• Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
• Optimal investment-consumption and life insurance with capital constraints
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• Exponentially concave functions and high dimensional stochastic portfolio theory

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