Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous-time mean-variance asset allocation under stochastic volatility
Year of publication: |
September 2016
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Authors: | Ma, K. ; Forsyth, Peter A. |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016, 1, p. 1-37
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Subject: | mean-variance | embedding | Pareto optimal | Hamilton-Jacobi-Bellman (HJB) equation | monmotone scheme | wide stencil | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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