{"id":"https://openalex.org/W4403534570","doi":"https://doi.org/10.1109/codit62066.2024.10708611","title":"Optimal investment in a market with borrowing and the Heston volatility model","display_name":"Optimal investment in a market with borrowing and the Heston volatility model","publication_year":2024,"publication_date":"2024-07-01","ids":{"openalex":"https://openalex.org/W4403534570","doi":"https://doi.org/10.1109/codit62066.2024.10708611"},"language":"en","primary_location":{"id":"doi:10.1109/codit62066.2024.10708611","is_oa":false,"landing_page_url":"https://doi.org/10.1109/codit62066.2024.10708611","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2024 10th International Conference on Control, Decision and Information Technologies (CoDIT)","raw_type":"proceedings-article"},"type":"conference-paper","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5093120726","display_name":"Nuha Alasmi","orcid":null},"institutions":[{"id":"https://openalex.org/I146655781","display_name":"University of Liverpool","ror":"https://ror.org/04xs57h96","country_code":"GB","type":"education","lineage":["https://openalex.org/I146655781"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Nuha Alasmi","raw_affiliation_strings":["The University of Liverpool,Department of Mathematical Sciences,Liverpool,UK,L69 7ZL"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The University of Liverpool,Department of Mathematical Sciences,Liverpool,UK,L69 7ZL","institution_ids":["https://openalex.org/I146655781"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5064497446","display_name":"Bujar Gashi","orcid":"https://orcid.org/0000-0002-6218-9641"},"institutions":[{"id":"https://openalex.org/I146655781","display_name":"University of Liverpool","ror":"https://ror.org/04xs57h96","country_code":"GB","type":"education","lineage":["https://openalex.org/I146655781"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Bujar Gashi","raw_affiliation_strings":["The University of Liverpool,Department of Mathematical Sciences,Liverpool,UK,L69 7ZL"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"The University of Liverpool,Department of Mathematical Sciences,Liverpool,UK,L69 7ZL","institution_ids":["https://openalex.org/I146655781"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I146655781"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"848","last_page":"853"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9520000219345093,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9520000219345093,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9024999737739563,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/heston-model","display_name":"Heston model","score":0.8138078451156616},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6205023527145386},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"Stochastic volatility","score":0.5706615447998047},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.4218295216560364},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.38876375555992126},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.34543922543525696},{"id":"https://openalex.org/keywords/sabr-volatility-model","display_name":"SABR volatility model","score":0.18285289406776428}],"concepts":[{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.8138078451156616},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6205023527145386},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5706615447998047},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.4218295216560364},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.38876375555992126},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.34543922543525696},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.18285289406776428},{"id":"https://openalex.org/C17744445","wikidata":"https://www.wikidata.org/wiki/Q36442","display_name":"Political science","level":0,"score":0.0},{"id":"https://openalex.org/C199539241","wikidata":"https://www.wikidata.org/wiki/Q7748","display_name":"Law","level":1,"score":0.0},{"id":"https://openalex.org/C94625758","wikidata":"https://www.wikidata.org/wiki/Q7163","display_name":"Politics","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/codit62066.2024.10708611","is_oa":false,"landing_page_url":"https://doi.org/10.1109/codit62066.2024.10708611","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"2024 10th International Conference on Control, Decision and Information Technologies (CoDIT)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[{"score":0.5199999809265137,"display_name":"Decent work and economic growth","id":"https://metadata.un.org/sdg/8"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":44,"referenced_works":["https://openalex.org/W1583323312","https://openalex.org/W1738031767","https://openalex.org/W1977216005","https://openalex.org/W1979139810","https://openalex.org/W1991510170","https://openalex.org/W1991552664","https://openalex.org/W1994019763","https://openalex.org/W2000503696","https://openalex.org/W2042775870","https://openalex.org/W2046044763","https://openalex.org/W2058942148","https://openalex.org/W2060664524","https://openalex.org/W2064978316","https://openalex.org/W2126394835","https://openalex.org/W2131563583","https://openalex.org/W2152071361","https://openalex.org/W2161868629","https://openalex.org/W2165176416","https://openalex.org/W2249020572","https://openalex.org/W2463258037","https://openalex.org/W2480134440","https://openalex.org/W2485619421","https://openalex.org/W2809178204","https://openalex.org/W2976768318","https://openalex.org/W3123377133","https://openalex.org/W3201580657","https://openalex.org/W4212780424","https://openalex.org/W4231021340","https://openalex.org/W4245879216","https://openalex.org/W4250962818","https://openalex.org/W4255761883","https://openalex.org/W4282022656","https://openalex.org/W4283724794","https://openalex.org/W4287846161","https://openalex.org/W4289927811","https://openalex.org/W4292070138","https://openalex.org/W4296576368","https://openalex.org/W4298224527","https://openalex.org/W4322743205","https://openalex.org/W4380742361","https://openalex.org/W4385452054","https://openalex.org/W4387914192","https://openalex.org/W4387914347","https://openalex.org/W6990110788"],"related_works":["https://openalex.org/W2803749326","https://openalex.org/W2777639970","https://openalex.org/W3122863754","https://openalex.org/W4313653791","https://openalex.org/W2411806651","https://openalex.org/W2804478675","https://openalex.org/W2506914110","https://openalex.org/W2212701802","https://openalex.org/W2004330626","https://openalex.org/W2315417698"],"abstract_inverted_index":{"We":[0],"consider":[1],"the":[2,37,47,51,62,77],"optimal":[3,26],"investment":[4],"problem":[5,29,69],"with":[6,15,30],"power":[7],"utility":[8],"from":[9],"terminal":[10],"wealth":[11],"in":[12],"a":[13,18,31,55,73],"market":[14],"borrowing":[16,42],"and":[17,46],"Heston":[19,52],"stochastic":[20,27],"volatility":[21],"model.":[22,53],"This":[23],"is":[24,70],"an":[25],"control":[28],"nonlinear":[32],"system":[33],"dynamics":[34],"due":[35],"to":[36,67,84],"higher":[38],"interest":[39],"rate":[40],"for":[41,44],"than":[43],"lending":[45],"square-root":[48],"nonlinearity":[49],"of":[50,59,79],"Using":[54],"certain":[56],"piece-wise":[57],"compeltion":[58],"squares":[60],"method,":[61],"unique":[63],"explicit":[64],"closed-form":[65],"solution":[66],"this":[68],"obtained":[71],"as":[72],"linear":[74],"state-feedback":[75],"control,":[76],"gain":[78],"which":[80],"can":[81],"have":[82],"up":[83],"three":[85],"different":[86],"regimes.":[87]},"counts_by_year":[{"year":2025,"cited_by_count":1}],"updated_date":"2026-07-14T23:27:15.235271","created_date":"2025-10-10T00:00:00"}
