Mean–variance portfolio selection based on a generalized BNS stochastic volatility model

DOI10.1080/00207160.2011.606904zbMath1237.91204MaRDI QIDQ2885567

Wan-yang Dai

Publication date: 23 May 2012

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2011.606904

zbMATH Keywords

optimal feedback control; integro-partial differential equation; mean-variance portfolio selection; generalized Black-Scholes model; non-Gaussian Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

45K05: Integro-partial differential equations

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)

91G10: Portfolio theory

Related Items

Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes

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