Work

Mean–Variance Portfolio Selection Under Volterra Heston Model

Year: 2020

Type: article

Source: Applied Mathematics & Optimization

DOI: 10.1007/s00245-020-09658-3

Authors: Bingyan Han, Hoi Ying Wong

Institution: Chinese University of Hong Kong

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2941544531

FWCI: 4.676

Cites: 33

Cited by: 28

Related to: 10