Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model\ast Article

Lin, Minglian, SenGupta, Indranil. (2021). Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model\ast . 12(4), 1596-1624. 10.1137/21M1412281

Open Access

cited authors

  • Lin, Minglian; SenGupta, Indranil

sustainable development goals

authors

publication date

  • January 1, 2021

keywords

  • APPROXIMATION
  • Business & Economics
  • Business, Finance
  • CHOICE
  • CONSUMPTION
  • Hamilton-Jacobi-Bellman equation
  • JUMP-DIFFUSION-MODEL
  • Mathematical Methods In Social Sciences
  • Mathematics
  • Mathematics, Interdisciplinary Applications
  • OPTIMIZATION
  • Physical Sciences
  • SELECTION
  • Science & Technology
  • Social Sciences
  • Social Sciences, Mathematical Methods
  • levy processes
  • portfolio optimization
  • quantitative finance
  • utility function

Digital Object Identifier (DOI)

publisher

  • SIAM PUBLICATIONS

start page

  • 1596

end page

  • 1624

volume

  • 12

issue

  • 4