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Portfolio optimization problem with delay under Cox-Ingersoll-Ross model

A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717

Persistent link: https://www.econbiz.de/10011752489

Dynamic optimal mean-variance portfolio selection with a 3/2 stochastic volatility

Zhang, Yumo - In: Risks : open access journal 9 (2021) 4, pp. 1-21

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation...

Persistent link: https://www.econbiz.de/10012508614

An alternative approach to portfolio selection problem via stochastic differential delay equations

Viaşu, Ioana - In: Review of economic studies and research Virgil Madgearu 8 (2015) 2, pp. 125-136

Persistent link: https://www.econbiz.de/10011719883

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544

Persistent link: https://www.econbiz.de/10013489465

From smile asymptotics to market risk measures

Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425

Persistent link: https://www.econbiz.de/10011350605

Robust utility maximization in nondominated models with 2BSDE : the uncertain volatility model

Matoussi, Anis; Possamaï, Dylan; Zhou, Chao - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 258-287

Persistent link: https://www.econbiz.de/10011350647

An asymptotic expansion for forward-backward SDEs : a malliavin calculus approach

Takahashi, Akihiko; Yamada, Toshihiro - In: Asia-Pacific financial markets 23 (2016) 4, pp. 337-373

Persistent link: https://www.econbiz.de/10011619975

Stochastic differential equations and stochastic optimal control for economists : learning by exercising

Löfgren, Karl-Gustaf - 2017

Persistent link: https://www.econbiz.de/10011666706

European option pricing model based on uncertain fractional differential equation

Lu, Ziqiang; Yan, Hongyan; Zhu, Yuanguo - In: Fuzzy optimization and decision making : a journal of … 18 (2019) 2, pp. 199-217

Persistent link: https://www.econbiz.de/10012228556

Optimal stochastic control problem under model uncertainty with nonentropy penalty

Faidi, Wahid; Matoussi, Anis; Mnif, Mohamed - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-41

Persistent link: https://www.econbiz.de/10011686954

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