A stochastic volatility model and optimal portfolio selection
From MaRDI portal
Publication:2871407
DOI10.1080/14697688.2012.740568zbMath1286.91130MaRDI QIDQ2871407
Xudong Zeng, Michael I. Taksar
Publication date: 23 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.740568
91B70: Stochastic models in economics
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G10: Portfolio theory
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