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ASYMPTOTIC ANALYSIS FOR PORTFOLIO OPTIMIZATION PROBLEM UNDER AN EXTENDED HESTON’S STOCHASTIC VOLATILITY MODEL
ASYMPTOTIC ANALYSIS FOR PORTFOLIO OPTIMIZATION PROBLEM UNDER AN EXTENDED HESTON’S STOCHASTIC VOLATILITY MODEL
2018
Ji-Hun Yoon
Sotheara Veng
Keywords:
Asymptotic analysis
Mathematical optimization
Mathematics
Portfolio optimization
Stochastic volatility
portfolio optimization problem
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