Time-Inconsistency with Rough Volatility
From MaRDI portal
Publication:5019592
DOI10.1137/20M136654XzbMath1480.91266arXiv1907.11378MaRDI QIDQ5019592
Publication date: 10 January 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.11378
functional Itô calculus; time-inconsistency; mean-variance portfolio selection; rough volatility; Volterra Heston model