Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
Jean-Pierre Fouque and Ruimeng Hu
| Year of publication: |
2018
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|---|---|
| Authors: | Fouque, Jean-Pierre ; Hu, Ruimeng |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 25.2018, 3/4, p. 361-388
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| Subject: | asymptotic optimality | fractional Ornstein-Uhlenbeck process | martingale distortion | Optimal portfolio | rough stochastic volatility | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Mean Reversion | Mean reversion | Martingal | Martingale | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2019.1584532 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012129167