Robust Optimal Investment Problem with Delay under Heston’s Model
Author:
Funder
National Natural Science Foundation of China
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11009-021-09885-3.pdf
Reference27 articles.
1. A CX, Shao Y (2017) Portfolio Optimization Problem with Delay under Cox-Ingersoll-Ross Model. J Math Finance 7(3), 699–717
2. Anderson EW, Ghysels E, Juergens JL (2009) The impact of risk and uncertainty on expected returns. J Financ Econ 94(2):233–263
3. Boguslavskaya E, Muravey D (2016) An explicit solution for optimal investment in Heston model. Theory Probab Its Appl 60(4):679–688
4. Chang MH, Pang T, Yang Y (2011) A stochastic portfolio optimization model with bounded memory. Math Oper Res 36(4):604–619
5. Hansen LP and Sargent TJ (2001) Robust control and model uncertainty. Am Econ Rev 91(2), 60–66
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1. Optimal Portfolio Selection with Delay under the Framework of Uncertainty Theory;Journal of Applied Mathematics and Physics;2023
2. Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market;International Journal of Control;2022-09-28
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