Power utility maximization problem under rough stochastic local volatility models with continuous-time Markov chain approximation-Reference-Cited by-同舟云学术

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Power utility maximization problem under rough stochastic local volatility models with continuous-time Markov chain approximation

Published:2023-08-21 Issue: Volume: Page:1-41
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Zhang Mengyuan¹,Zhou Qing¹,Wu Weixing²,Xiao Weilin³

Affiliation:

1. School of Science, Beijing University of Posts and Telecommunications, Beijing, People's Republic of China

2. School of Finance, Capital University of Economics and Business, Beijing, People's Republic of China

3. School of Management, Zhejiang University, Hangzhou, People's Republic of China

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2023.2249005

Reference36 articles.

1. PORTFOLIO SELECTION*

2. Optimum consumption and portfolio rules in a continuous-time model

3. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

4. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

5. Optimal Portfolios for Financial Markets with Wishart Volatility

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