Portfolio optimization of stochastic volatility models through the dynamic programming equations
In this work we study the problem of portfolio optimization in markets with stochastic volatility.The optimization criteria considered consists in the maximization of the utility of terminal wealth.The most usual method to solve this type of problem passes by the solution of an equation with partial...
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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2019
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| Texto completo: | http://hdl.handle.net/10362/58449 |
| País: | Portugal |
| Oai: | oai:run.unl.pt:10362/58449 |