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Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type
Benth, Fred Espen; Hvistendahl Karlsen, Kenneth; … - In: Mathematical finance : an international journal of … 13 (2003) 2, pp. 215-244
Persistent link: https://www.econbiz.de/10001765678
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Partial hedging in a stochastic volatility environment
Jonsson, Mattias - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 375-409
Persistent link: https://www.econbiz.de/10001741949
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An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
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Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Renò, Roberto - In: Journal of economic dynamics & control 94 (2018), pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
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Co-jumps and recursive preferences in portfolio choices
Stefani, Ilaria - In: Annals of finance 19 (2023) 3, pp. 291-324
Persistent link: https://www.econbiz.de/10014380566
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A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen; Escobar, Marcos; Davison, Matt - In: Computational economics 62 (2023) 3, pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894
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Optimal management of DC pension plan in stochastic interest rate and stochastic volatility framework
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 57 (2014), pp. 58-66
Persistent link: https://www.econbiz.de/10010402734
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Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 599-632
Persistent link: https://www.econbiz.de/10011923011
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Pricing CDOs with a smile : the local correlation model
Turc, Julien; Very, Philippe - In: Frontiers in quantitative finance : volatility and …, (pp. 235-250). 2009
Persistent link: https://www.econbiz.de/10003787606
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Asset allocation with a high dimensional latent factor stochastic volatility model
Han, Yufeng - In: The review of financial studies 19 (2006) 1, pp. 237-271
Persistent link: https://www.econbiz.de/10003325179