Asymptotic approximation of optimal portfolio for small time horizons
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- Minglian Lin & Indranil SenGupta, 2021. "Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model," Papers 2104.06293, arXiv.org.
- Minglian Lin & Indranil SenGupta, 2023. "Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets," Papers 2302.06778, arXiv.org, revised Dec 2024.
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This paper has been announced in the following NEP Reports:- NEP-UPT-2016-12-04 (Utility Models and Prospect Theory)
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