Merton’s problem for an investor with a benchmark in a Barndorff-Nielsen and Shephard market
Journal article, 2015
stochastic control
portfolio optimization
stochastic volatility
benchmark
HJB equation
Author
Jan Lennartsson
University of Gothenburg
Chalmers, Mathematical Sciences, Mathematical Statistics
CARL LINDBERG
SpringerPlus
21931801 (eISSN)
Vol. 4 1 artikel 87- 87Subject Categories
Probability Theory and Statistics
Mathematical Analysis
DOI
10.1186/s40064-015-0842-9
PubMed
25774334