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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Bibliographic Details
Main Author: Pereira, Diogo Alexandre (author)
Format: masterThesis
Language:eng
Published: 2019
Subjects:
Optimal portfolios
stochastic volatility
verification theorems
2-hypergeometric model
Domínio/Área Científica::Engenharia e Tecnologia::Outras Engenharias e Tecnologias
Online Access:http://hdl.handle.net/10362/58449
Country:Portugal
Oai:oai:run.unl.pt:10362/58449

Internet

http://hdl.handle.net/10362/58449

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