29 citations · 119 across the 29 of their papers we have counts for
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q-fin.MF2018
Portfolio Optimization under Fast Mean-reverting and Rough Fractional Stochastic Environment
Jean-Pierre Fouque, Ruimeng Hu
Fractional stochastic volatility models have been widely used to capture the non-Markovian structure revealed from financial time series of realized volatility. On the other hand,…
q-fin.MF2018★ 2 cited
Asymptotic Optimal Portfolio in Fast Mean-reverting Stochastic Environments
Ruimeng Hu
This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are imp…