Portfolio optimization and a factor model in a stochastic volatility market
From MaRDI portal
Publication:3426318
DOI10.1080/17442500600900723zbMath1280.91152MaRDI QIDQ3426318
Publication date: 8 March 2007
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500600900723
stochastic control; stochastic volatility; Feynman-Kac formula; portfolio optimization; verification theorem; non-Gaussian Ornstein-Uhlenbeck process
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
49L20: Dynamic programming in optimal control and differential games
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
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