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ANALYSIS OF OPTIMAL PORTFOLIO ON FINITE AND SMALL-TIME HORIZONS FOR A STOCHASTIC VOLATILITY MODEL WITH MULTIPLE CORRELATED ASSETS Article

Lin, Minglian, Sengupta, Indranil. (2024). ANALYSIS OF OPTIMAL PORTFOLIO ON FINITE AND SMALL-TIME HORIZONS FOR A STOCHASTIC VOLATILITY MODEL WITH MULTIPLE CORRELATED ASSETS . 27(05N06), 10.1142/S0219024924500237

cited authors

  • Lin, Minglian; Sengupta, Indranil

authors

publication date

  • September 1, 2024

keywords

  • APPROXIMATION
  • Business & Economics
  • Business, Finance
  • Hamilton-Jacobi-Bellman equation
  • INVESTMENT
  • OPTIMIZATION
  • Portfolio optimization
  • Social Sciences
  • correlated Brownian motions
  • quantitative finance
  • utility function

Digital Object Identifier (DOI)

publisher

  • WORLD SCIENTIFIC PUBL CO PTE LTD

volume

  • 27

issue

  • 05N06