Browsing Waterloo Research by Subject "square-root factor process"
Now showing items 1-1 of 1
-
BSDE Approach to Utility Maximization with Square-Root Factor Processes
(Elsevier, 2020-03)We consider the utility-based portfolio selection problem in a continuous-time setting. We assume the market price of risk depends on a stochastic factor that satisfies an affine-form, square-root, Markovian model. This ...