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An optimal consumption model with stochastic volatility |
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| Authors: | Wendell H. Fleming Daniel Hernández-Hernández |
| Affiliation: | (1) Division of Applied Mathematics, Brown University, Providence, RI 02912, USA (e-mail: whf@cfm.brown.edu) , US;(2) Centro de Investigación en Matemáticas, Apartado Postal 402, Guanajuato, Gto. 36000, México (e-mail: dher@cimat.mx) , MX |
| Abstract: | |
| Keywords: | : Stochastic volatility portfolio optimization factor modelling mean reverting |
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