East Asian mathematical journal

  • 제34권1호
  • /
  • Pages.1-16
  • /
  • 2018
  • /
  • 1226-6973(pISSN)
  • /
  • 2287-2833(eISSN)
영남수학회 (The Youngnam Mathematical Society)
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ASYMPTOTIC ANALYSIS FOR PORTFOLIO OPTIMIZATION PROBLEM UNDER TWO-FACTOR HESTON'S STOCHASTIC VOLATILITY MODEL

  • Kim, Jai Heui (Department of Mathematics, Pusan National University) ;
  • Veng, Sotheara (Department of Mathematics, Pusan National University)
  • 투고 : 2017.11.17
  • 심사 : 2017.12.11
  • 발행 : 2018.01.31
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초록

We study an optimization problem for hyperbolic absolute risk aversion (HARA) utility function under two-factor Heston's stochastic volatility model. It is not possible to obtain an explicit solution because our financial 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.

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과제정보

연구 과제 주관 기관 : Pusan National University

참고문헌

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