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Stochastic Volatility Asymptotics for Optimal Subsistence Consumption and Investment with Bankruptcy.

Kexin ChenMei Choi ChiuYong Hyun ShinHoi Ying Wong
Published in: SIAM J. Financial Math. (2019)
Keyphrases
  • investment strategies
  • dynamic programming
  • sufficient conditions
  • stock market
  • markov chain
  • optimal solution
  • locally optimal
  • stochastic dynamic programming
  • monte carlo
  • stock price
  • risk aversion