Portfolio optimization with stochastic volatilities and constraints: an application in high dimension
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Publication:2471704
DOI10.1007/s00245-007-0896-3zbMath1134.60046MaRDI QIDQ2471704
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
stochastic volatility; smooth solution; optimal portfolio; semilinear partial differential equation; numerical convex optimization
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory