Optimal portfolio choice and stochastic volatility
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Publication:5414493
DOI10.1002/asmb.898zbMath1286.91126MaRDI QIDQ5414493
Anne Gron, Bjørn N. Jorgensen, Nicholas G. Polson
Publication date: 6 May 2014
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.898
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G20: Derivative securities (option pricing, hedging, etc.)
91B50: General equilibrium theory
91G10: Portfolio theory
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