Merton’s portfolio problem under Volterra Heston model-Reference-Cited by-同舟云学术

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Merton’s portfolio problem under Volterra Heston model

Published:2021-03 Issue: Volume:39 Page:101580
ISSN:1544-6123
Container-title:Finance Research Letters
language:en
Short-container-title:Finance Research Letters

Author:

Han Bingyan,Wong Hoi Ying

Publisher

Elsevier BV

Subject

Finance

Reference30 articles.

1. Lifting the Heston model;Abi Jaber;Quant. Finance,2019

2. Multifactor approximation of rough volatility models;Abi Jaber;SIAM J. Financ. Math.,2019

3. Affine Volterra processes;Abi Jaber;Ann. Appl. Probab.,2019

4. Handbook of Financial Econometrics: Tools and Techniques;Aït-Sahalia,2009

5. Bäuerle, N., Desmettre, S., 2018. Portfolio optimization in fractional and rough Heston models. ArXiv preprint arXiv:1809.10716.

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1. Volterra square-root process: Stationarity and regularity of the law;The Annals of Applied Probability;2024-02-01

2. Transition density function expansion methods for portfolio optimization;Optimal Control Applications and Methods;2024-01-25

3. Utility Maximization in Multivariate Volterra Models;SIAM Journal on Financial Mathematics;2023-01-19

4. Optimal reinsurance-investment with loss aversion under rough Heston model;Quantitative Finance;2022-12-02

5. Modeling and computation of an integral operator Riccati equation for an infinite-dimensional stochastic differential equation governing streamflow discharge;Computers & Mathematics with Applications;2022-11

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