Optimal Portfolio in Partially Observed Stochastic Volatility Models

By Huyen Pham, Marie Claire Quenez. 2001

104 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/ee715c3c5f36c64e56846c95aa03f93c97485d42

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Zhongfei Li
2. Yan Zeng
3. Frederi G. Viens
4. Bo Yi
5. Yang Shen
6. Pei Wang

In Finance

1. Zhongfei Li
2. Yan Zeng
3. Frederi G. Viens
4. Bo Yi
5. Yang Shen
6. Ivan Nourdin
7. T. T. Diu Tran
8. Pei Wang

Citations in the corpus

• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, methodology): “…(2007) considered the optimal investment and/or consumption problems under Heston’s SV model by adopting the stochastic dynamic programming approach; Pham & Quenez (2001), Viens (2002), and Kim & Viens (2012) focused on optimization portfolio problem under SV model with partially observed…”