Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
K. Ma and P.A. Forsyth
| Year of publication: |
September 2016
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| Authors: | Ma, K. ; Forsyth, Peter |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 1, p. 1-37
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| Subject: | mean-variance | embedding | Pareto optimal | Hamilton-Jacobi-Bellman (HJB) equation | monmotone scheme | wide stencil | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Mathematische Optimierung | Mathematical programming | Hedging |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.310 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011639504