An Explicit Solution for a Portfolio Selection Problem with Stochastic Volatility

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ISSN Print: 2162-2434
ISSN Online: 2162-2442
www.scirp.org/journal/jmf
E-mail: jmf@scirp.org

"An Explicit Solution for a Portfolio Selection Problem with Stochastic Volatility"
written by Albert N. Sandjo, Fabrice Colin, Salissou Moutari,
published by Journal of Mathematical Finance, Vol.7 No.1, 2017

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[1]	Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure Computational Economics, 2024 DOI:10.1007/s10614-023-10451-x

[2]	High-dimensional Statistical Arbitrage with Factor Models and Stochastic Control Applied Mathematical Finance, 2019 DOI:10.1080/1350486X.2019.1702067