Portfolio optimization problem with delay under Cox-Ingersoll-Ross model

Chunxiang A, Yi Shao

Year of publication:	August 2017
Authors:	A, Chunxiang ; Shao, Yi
Published in:	Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 3, p. 699-717
Subject:	Portfolio \| Stochastic Delay Differential Equation \| Stochastic Volatility \| Hamilton-Jacobin-Bellman Equation \| Portfolio-Management \| Portfolio selection \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Volatilität \| Volatility \| Mathematische Optimierung \| Mathematical programming \| Analysis \| Mathematical analysis

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