Asymptotic Methods for Portfolio Optimization Problems

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：gdzsmd

【摘要】

：

　　We revisit the portfolio optimization problems under stochastic volatility models,and using asymptotic methods with respect to volatility time scales.In the

【作者】

：

HuRuimeng;FouqueJean-Pierre;

【机构】

：

Univ.of California,Santa Barbara

【出处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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　　We revisit the portfolio optimization problems under stochastic volatility models,and using asymptotic methods with respect to volatility time scales.In the case of one factor and power utility,the problem is linearized and well-understood.However,the problem with general utility is still open.

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