Portfolio optimization with stochastic volatilities and constraints: an application in high dimension
DOI10.1007/S00245-007-0896-3zbMATH Open1134.60046OpenAlexW2025822797MaRDI QIDQ2471704FDOQ2471704
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
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stochastic volatilityoptimal portfoliosmooth solutionsemilinear partial differential equationnumerical convex optimization
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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