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Portfolio optimization and stochastic volatility asymptotics. (English) Zbl 1377.91148

The goal of this paper is to study the optimal investment problem within multiscale stochastic volatility models. The authors work under the multiscale stochastic volatility framework used in [J.-P. Fouque et al., Multiscale stochastic volatility for equity, interest rate, and credit derivatives. Cambridge: Cambridge University Press (2011; Zbl 1248.91003)] for option pricing where there is one fast volatility factor and one slow.

MSC:

91G10 Portfolio theory
60H30 Applications of stochastic analysis (to PDEs, etc.)
91G20 Derivative securities (option pricing, hedging, etc.)
93E20 Optimal stochastic control

Citations:

Zbl 1248.91003
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References:

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