Work

Asymptotic Optimal Strategy for Portfolio Optimization in a Slowly Varying Stochastic Environment

Year: 2017

Type: article

Source: SIAM Journal on Control and Optimization

DOI: 10.1137/16m1066762

Authors: Jean-Pierre Fouque, Ruimeng Hu

Institution: University of California, Santa Barbara

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Science Foundation, Directorate for Mathematical and Physical Sciences

Awards: Systemic Risk and Nonlinear Problems in Financial Mathematics, G7059406054

OpenAlex ID: W2963837020

FWCI: 5.561

Cites: 14

Cited by: 20

Related to: 10