Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets Preprint

Lin, Minglian, SenGupta, Indranil. (2023). Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets .

cited authors

  • Lin, Minglian; SenGupta, Indranil

authors

publication date

  • February 13, 2023

webpage

keywords

  • 91G10, 93E20, 60G15
  • q-fin.MF