most citedAnalysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets

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q-fin.MF2023★ 1 cited

Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets

Minglian Lin, Indranil SenGupta

In this paper, we consider the portfolio optimization problem in a financial market where the underlying stochastic volatility model is driven by n-dimensional Brownian motions. At…