A new stochastic factor model: general explicit solutions

DOI10.1016/J.AML.2009.07.011zbMATH Open1183.91160OpenAlexW2079273379MaRDI QIDQ847280FDOQ847280

Authors: Moawia Alghalith 

Publication date: 12 February 2010

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2009.07.011

zbMATH Keywords

optimizationportfolioinvestmentstochastic factor

Mathematics Subject Classification ID

Portfolio theory (91G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

• Title not available (Why is that?)
• Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
• Utility valuation of credit derivatives: single and two-name cases
• Title not available (Why is that?)

Cited In (6)

• Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem
• Estimating the Stock/Portfolio Volatility and the Volatility of Volatility: A New Simple Method
• Forward dynamic utility functions: a new model and new results
• Title not available (Why is that?)
• A new approach to stochastic optimization
• Pricing the American options using the Black-Scholes pricing formula

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