collaborators

1 paper

math.OC2026

A Computable Stochastic Riccati Equations Framework for Mean--Variance Portfolio Selection with Multifactor Stochastic Volatility Model

Zhecheng Huang, Guojiang Shao, Lei Wang +1

We investigate a computable and empirically implementable framework for continuous-time mean--variance optimal portfolio selection with random market coefficients. The market model…