Publication:4641032
From MaRDI portal
zbMath1399.91099MaRDI QIDQ4641032
Juan Ma, Hao Chang, Shunhou Fan
Publication date: 25 May 2018
Legendre transformation; dynamic portfolio selection; liability process; HARA utility function; Heston's stochastic volatility
90C39: Dynamic programming
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory