Practical investment strategies under a multi-scale Heston's stochastic volatility model

DOI10.7858/EAMJ.2017.003zbMATH Open1376.91151OpenAlexW2606561473MaRDI QIDQ4593282FDOQ4593282

Authors: Jai Heui Kim, Sotheara Veng 

Publication date: 22 November 2017

Published in: East Asian mathematical journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7858/eamj.2017.003

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zbMATH Keywords

optimal investment strategyHARA utility functionmulti-scale Heston's modelpractical strategy

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

Cited In (3)

• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
• Asymptotic analysis for portfolio optimization problem under two-factor Heston's stochastic volatility model
• Title not available (Why is that?)

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