Homotopy analysis method for portfolio optimization problem under the 3/2 model

DOI10.1007/S11424-021-9286-1zbMath1460.91256OpenAlexW3134944408MaRDI QIDQ2661941

Shuquan Yang, Zhaoli Jia, Huojun Wu, Qian-Qian Wu

Publication date: 8 April 2021

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-021-9286-1

zbMATH Keywords

stochastic volatilityHJB equationoptimal portfolio strategyhomotopy analysis methodpower utility

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Homotopy theory (55P99) Portfolio theory (91G10)

Uses Software

• Maple
• ADHO

Cites Work

• Unnamed Item
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• Beyond Perturbation
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• Options on realized variance by transform methods: a non-affine stochastic volatility model
• A solution approach to valuation with unhedgeable risks

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