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dc.contributor.authorLi, S.
dc.contributor.authorLuong, C.
dc.contributor.authorAngkola, F.
dc.contributor.authorWu, Yong Hong
dc.date.accessioned2017-01-30T12:05:21Z
dc.date.available2017-01-30T12:05:21Z
dc.date.created2016-02-21T19:30:26Z
dc.date.issued2016
dc.identifier.citationLi, S. and Luong, C. and Angkola, F. and Wu, Y.H. 2016. Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion. Journal of Industrial and Management Optimization. 12 (4): pp. 1521-1533.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/17992
dc.identifier.doi10.3934/jimo.2016.12.1521
dc.description.abstract

This paper studies the portfolio optimization of mean-variance utility with state-dependent risk aversion, where the stock asset is driven by a stochastic process. The sub-game perfect Nash equilibrium strategies and the extended Hamilton-Jacobi-Bellman equations have been used to derive the system of non-linear partial differential equations. From the economic point of view, we demonstrate the numerical evaluation of the suggested solution for a special case where the risk aversion rate is proportional to the wealth value. Our results show that the asset driven by the stochastic volatility process is more general and reasonable than the process with a constant volatility.

dc.publisherAmerican Institute of Mathematical Sciences (A I M S Press)
dc.titleOptimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
dc.typeJournal Article
dcterms.source.volume12
dcterms.source.number4
dcterms.source.startPage1521
dcterms.source.endPage1533
dcterms.source.issn1547-5816
dcterms.source.titleJournal of Industrial and Management Optimization
curtin.departmentDepartment of Mathematics and Statistics
curtin.accessStatusOpen access via publisher


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