Optimal strategies for asset allocation and consumption under stochastic volatility.
Qiang ZhangLei GePublished in: Appl. Math. Lett. (2016)
Keyphrases
- optimal strategy
- asset allocation
- stock market
- monte carlo
- expected utility
- optimal portfolio
- portfolio management
- decision problems
- mathematical models
- expected cost
- stock price
- computational complexity
- short term
- artificial intelligence
- quadratic optimization
- optimal solution
- linear programming
- cooperative
- optimal policy
- financial markets
- portfolio selection
- multi objective
- bayesian networks