On the multi-dimensional portfolio optimization with stochastic volatility

DOI10.2989/16073606.2017.1369468MaRDI QIDQ5236140zbMATH OpenOpenAlexFDO

Authors Rodwell Kufakunesu

Publication date 15 October 2019

Published in Quaestiones Mathematicae (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2263/67105

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsemilinear partial differential equationsmooth solutionstochastic volatilitytime-dependentutility optimization

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(7)

• The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios
• Portfolio optimization with stochastic volatilities and constraints: an application in high dimension
• Optimal investment models with stochastic volatility: the time inhomogeneous case
• Portfolio Optimization with Stochastic Volatilities: A Backward Approach
• scientific article; zbMATH DE number 5159434 (Why is no real title available?)
• Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach

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