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Mean–Variance Portfolio Selection Under Volterra Heston Model · Study

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ArticleMean–Variance Portfolio Selection Under Volterra Heston Model

Bingyan Han2020

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Articlegreen2020

Mean–Variance Portfolio Selection Under Volterra Heston Model

28 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999Continuous Martingales and Brownian Motion 1999Stochastic Controls 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2018Volatility Is Rough 2019The characteristic function of rough Heston models 2002Mean-Variance Portfolio Selection with Random Parameters in a Complete Market 2005Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

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Details

Year2020

Typearticle

Published2020-01-24

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-020-09658-3

openalex_workW2941544531

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