Yang, Sung-Jin; Kim, Jeong-Hoon; Lee, Min-Ku Portfolio optimization for pension plans under hybrid stochastic and local volatility. (English) Zbl 1363.90269 Appl. Math., Praha 60, No. 2, 197-215 (2015). Reviewer: Tak Kuen Siu (Sydney) MSC: 90C39 90C59 90C90 91G10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Yang, Sung-Jin; Lee, Min-Ku; Kim, Jeong-Hoon Portfolio optimization under the stochastic elasticity of variance. (English) Zbl 1403.91328 Stoch. Dyn. 14, No. 3, Article ID 1350024, 19 p. (2014). Reviewer: Tomáš Cipra (Praha) MSC: 91G10 93E20 90C39 41A60 × Cite Format Result Cite Review PDF Full Text: DOI