An optimal portfolio model with stochastic volatility and stochastic interest rate
From MaRDI portal
Publication:615916
DOI10.1016/j.jmaa.2010.09.055zbMath1202.91302OpenAlexW2065890367MaRDI QIDQ615916
Publication date: 7 January 2011
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2010.09.055
Hamilton-Jacobi-Bellman equationasymptoticsstochastic volatilityportfolio optimizationstochastic interest
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Portfolio theory (91G10)
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