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ANALYSIS OF OPTIMAL PORTFOLIO ON FINITE AND SMALL-TIME HORIZONS FOR A STOCHASTIC VOLATILITY MODEL WITH MULTIPLE CORRELATED ASSETS
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/asmb.2880openalex-snapshot
Estimation of VaR with jump process: Application in corn and soybean markets
inferredcites →https://doi.org/10.1007/s00780-003-0114-3openalex-snapshot
A geometric approach to portfolio optimization in models with transaction costs
inferredcites →https://doi.org/10.1007/s00780-020-00439-yopenalex-snapshot
High-Frequency Trading with Fractional Brownian Motion
inferredcites →https://doi.org/10.1007/s00780-022-00475-wopenalex-snapshot
Optimal Consumption with Reference to Past Spending Maximum
inferredcites →https://doi.org/10.1007/s10436-019-00355-yopenalex-snapshot
Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
inferredcites →https://doi.org/10.1007/s10436-021-00394-4openalex-snapshot
Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
inferredcites →https://doi.org/10.1080/1350486x.2020.1859943openalex-snapshot
Sequential Hypothesis Testing in Machine Learning, and Crude Oil Price Jump Size Detection
inferredcites →https://doi.org/10.1111/j.1467-9965.2006.00273.xopenalex-snapshot
MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
inferredcites →https://doi.org/10.1111/mafi.12109openalex-snapshot
PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
inferredcites →https://doi.org/10.1137/120869080openalex-snapshot
An Approximation Scheme for Solution to the Optimal Investment Problem in Incomplete Markets
inferredcites →https://doi.org/10.1137/120898991openalex-snapshot
Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
inferredcites →https://doi.org/10.1137/17m1111371openalex-snapshot
Asymptotic Approximation of Optimal Portfolio for Small Time Horizons
inferredcites →https://doi.org/10.1137/21m1412281openalex-snapshot
Analysis of Optimal Portfolio on Finite and Small-Time Horizons for a Stochastic Volatility Market Model
inferredcites →https://doi.org/10.2307/1926560openalex-snapshot
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
What points at this work
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inferred← citeshttps://doi.org/10.2139/ssrn.4676596openalex-extracted
Portfolio Optimization: A Systematic and Bibliometric Literature Review
inferred← citeshttps://doi.org/10.1002/asmb.2880openalex-snapshot
Estimation of VaR with jump process: Application in corn and soybean markets
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