Portfolio optimization under fast mean-reverting and rough fractional stochastic environment

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Veröffentlicht in:Applied mathematical finance
1. Verfasser: Fouque, Jean-Pierre (VerfasserIn)
Weitere Verfasser: Hu, Ruimeng (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: 2018
Schlagworte:
asymptotic optimality > fractional Ornstein-Uhlenbeck process > martingale distortion > Optimal portfolio > rough stochastic volatility > Aufsatz in Zeitschrift
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