An explicit solution for a portfolio selection problem with stochastic volatility
Albert N. Sandjo, Fabrice Colin, Salissou Moutari
| Year of publication: |
February 2017
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|---|---|
| Authors: | Sandjo, Albert Nana ; Colin, Fabrice ; Moutari, Salissou |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 1, p. 199-218
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| Subject: | Portfolio Selection | Stochastic Volatility | Explicit Solution | Ornstein-Uhlenbeck Model | Dynamic Programming Principle | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2017.71011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011658467