Preprint
Aug 2026
A Computable Stochastic Riccati Equations Framework for Mean--Variance Portfolio Selection with Multifactor Stochastic Volatility Model
We investigate a computable and empirically implementable framework for continuous-time mean--variance optimal portfolio selection with random market coefficients. The market model is built on a tractable multifactor stochastic volatility structure, which captures state-dependent risk premia, stochastic volatility, and...
Zhecheng Huang, Guojiang Shao, Lei Wang et al.
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