Markowitz portfolio selection for multivariate affine and quadratic Volterra models
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DOI: 10.1137/20M1347449
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References listed on IDEAS
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Cited by:
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Post-Print hal-02946146, HAL.
- Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2021. "American options in the Volterra Heston model," Working Papers hal-03178306, HAL.
- Eduardo Abi Jaber, 2022. "The characteristic function of Gaussian stochastic volatility models: an analytic expression," Finance and Stochastics, Springer, vol. 26(4), pages 733-769, October.
- Etienne Chevalier & Sergio Pulido & Elizabeth Z'u~niga, 2021. "American options in the Volterra Heston model," Papers 2103.11734, arXiv.org, revised May 2022.
- Etienne Chevalier & Sergio Pulido & Elizabeth Zúñiga, 2022. "American options in the Volterra Heston model," Post-Print hal-03178306, HAL.
- Jingtang Ma & Zhengyang Lu & Zhenyu Cui, 2022. "Delta family approach for the stochastic control problems of utility maximization," Papers 2202.12745, arXiv.org.
- Eduardo Abi Jaber & Eyal Neuman, 2022. "Optimal Liquidation with Signals: the General Propagator Case," Papers 2211.00447, arXiv.org.
- Eduardo Abi Jaber & Eyal Neuman & Moritz Vo{ss}, 2023. "Equilibrium in Functional Stochastic Games with Mean-Field Interaction," Papers 2306.05433, arXiv.org, revised Feb 2024.
- Martin Friesen & Peng Jin, 2022. "Volterra square-root process: Stationarity and regularity of the law," Papers 2203.08677, arXiv.org, revised Oct 2022.
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More about this item
Keywords
Stein-Stein and Wishart models; Riccati equations; non-Markovian Heston; multi- dimensional Volterra process; rough volatility; Mean-variance portfolio theory; correlation matrices;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CWA-2021-02-22 (Central and Western Asia)
- NEP-ORE-2021-02-22 (Operations Research)
- NEP-RMG-2021-02-22 (Risk Management)
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