Portfolio Optimization for Assets with Stochastic Yields and Stochastic Volatility
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DOI: 10.1007/s10957-019-01513-y
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Cited by:
- Frank Phillipson & Harshil Singh Bhatia, 2020. "Portfolio Optimisation Using the D-Wave Quantum Annealer," Papers 2012.01121, arXiv.org.
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Keywords
Portfolio optimization; Stochastic volatility; Stochastic yield; HJB equation; Subsolution; Supersolution;All these keywords.
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