Asymptotic Analysis for Portfolio Optimization Problem under Two-Factor Heston’s Stochastic Volatility Model
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초록
We study an optimization problem for hyperbolic absolute risk aversion (HARA) utility function under two-factor Heston’s stochastic volatil- ity model. It is not possible to obtain an explicit solution because our finan- cial market model is complicated. However, by using asymptotic analysis technique, we find the explicit forms of the approximations of the optimal value function and the optimal strategy for HARA utility function.
Abstract
We study an optimization problem for hyperbolic absolute risk aversion (HARA) utility function under two-factor Heston’s stochastic volatil- ity model. It is not possible to obtain an explicit solution because our finan- cial market model is complicated. However, by using asymptotic analysis technique, we find the explicit forms of the approximations of the optimal value function and the optimal strategy for HARA utility function.
참고문헌 (11)
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