PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS

Keyphrases

• Portfolio Optimization 100%
• Volatility 100%
• Stochastic Volatility Asymptotics 100%
• Asymptotic Approximation 66%
• Merton 66%
• Power Utility 66%
• Value Function 33%
• Slowly Varying 33%
• Asymptotic Analysis 33%
• Fast-moving 33%
• Explicit Solution 33%
• Stochastic Volatility 33%
• Convergence Proof 33%
• Partial Differential Equations 33%
• Mean-reverting 33%
• Complete Markets 33%
• Incomplete Markets 33%
• Constant Volatility 33%
• Regular Perturbation 33%
• Volatility Process 33%
• Singular Perturbation Problems 33%
• Risk Tolerance 33%
• Factor Stochastic Volatility 33%
• Formal Derivation 33%
• Tolerance Function 33%
• Multiscale Stochastic Volatility Model 33%
• Option Pricing Model 33%

Mathematics

• Asymptotics 100%
• Stochastic Volatility 100%
• Asymptotic Approximation 66%
• Asymptotic Analysis 33%
• Partial Differential Equation 33%
• Option Pricing 33%
• Stochastic Volatility Model 33%
• Explicit Solution 33%
• Singular Perturbation Problem 33%
• Regular Perturbation 33%