PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
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Publication:5283401
DOI10.1111/mafi.12109zbMath1377.91148OpenAlexW3121177045MaRDI QIDQ5283401
Jean-Pierre Fouque, Thaleia Zariphopoulou, Ronnie Sircar
Publication date: 21 July 2017
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12109
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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Cites Work
- Continuous-time stochastic control and optimization with financial applications
- Does relative risk aversion vary with wealth? Evidence from households portfolio choice data
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- Portfolio Choice under Space-Time Monotone Performance Criteria
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- A solution approach to valuation with unhedgeable risks
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