Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility View Full Text


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Article Info

DATE

2019-04-03

AUTHORS

Tao Pang, Katherine Varga

ABSTRACT

N/A

References to SciGraph publications

  • 2015-04. H–J–B Equations of Optimal Consumption-Investment and Verification Theorems in APPLIED MATHEMATICS & OPTIMIZATION
  • 2001-01. A solution approach to valuation with unhedgeable risks in FINANCE AND STOCHASTICS
  • 2005-08. The Tradeoff between Consumption and Investment in Incomplete Financial Markets in APPLIED MATHEMATICS & OPTIMIZATION
  • 2003-04. An optimal consumption model with stochastic volatility in FINANCE AND STOCHASTICS
  • 2009-07. Risk-Sensitive Portfolio Optimization Problems with Fixed Income Securities in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
  • 2004-09. Portfolio Optimization Models on Infinite-Time Horizon in JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
  • Journal

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    http://scigraph.springernature.com/pub.10.1007/s10957-019-01513-y

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    http://dx.doi.org/10.1007/s10957-019-01513-y

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