1 |
J-P. Fouque and M.J. Lorig A Fast Mean-Reverting Correction to Heston's Stochastic Volatility Model, SIAM Journal on Financial Mathematics 2 (2011), 221-254.
DOI
|
2 |
J-P. Fouque, R. Sircar and T. Zariphopoulou, Portfolio Optimization and Stochastic Volatility Asymptotics, Mathematical Finance 25 (2015), 256-456.
|
3 |
J. Gao, Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model, Insurance: Mathematics and Economics 45 (2009), 9-18.
DOI
|
4 |
E.J. Jung and J.H. Kim, Optimal investment strategies for the HARA utility under the constant elasticity of variance model, Insurance: Mathematics and Economics 51 (2012), 667-673.
DOI
|
5 |
J.H. Kim and S. Veng, Practical investment strategies under a multi-scale Heston's sto- chastic volatility model, East Asian Math. J. 33 (2017), 23-36.
DOI
|
6 |
H. Kraft, Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility, Quantitative Finance 5 (2005), 303-313.
DOI
|
7 |
R.C. Merton, Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case, The Review of Economics and Statistics 51 (1969), 247-257.
DOI
|
8 |
B. Oksendal, Stochastic Differential Equations, Springer-Verlag Berlin Heidelberg (1998).
|
9 |
S.J. Yang, M.K. Lee and J.H. Kim, Portfolio optimization under the stochastic elasticity of variance, Stochastics and Dynamics 14 (2014), 1350024 (19 pages).
DOI
|
10 |
T. Zariphopoulou, A solution approach to valuation with unhedgeable risks, Finance and Stochastics 5 (2001), 61-82.
DOI
|
11 |
X. Zeng and M. Taksar, A stochastic volatility model and optimal portfolio selection, Quantitative Finance 13 (2013), 1547-1558.
DOI
|