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Stochastic Partial Differential Equations and Portfolio Choice · Study

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ChapterStochastic Partial Differential Equations and Portfolio Choice

Marek Musiela2010

Chapter2010

Stochastic Partial Differential Equations and Portfolio Choice

Marek Musiela · Thaleia Zariphopoulou

75 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1987Expected stock returns and volatility 1977Asset returns and inflation 2005Controlled Markov Processes and Viscosity Solutions 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 2000Post-'87 crash fears in the S&P 500 futures option market

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2015OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE‐TIME DIFFUSIONS 2017Dynamic approaches for some time-inconsistent optimization problems 2018Dynamically consistent investment under model uncertainty: the robust forward criteria 2018An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior

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Year2010

Typechapter

Published2010-01-01

VenueSpringer eBooks

Languageen

Citations75

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-03479-4_11

openalex_workW195033016

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