Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/21M1412281
Reference20 articles.
1. Portfolio choice with jumps: A closed-form solution
2. Optimal portfolios when volatility can jump
3. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
4. Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes
5. Transform Analysis and Asset Pricing for Affine Jump-diffusions
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