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

DOI10.7858/EAMJ.2017.003MaRDI QIDQ4593282zbMATH OpenOpenAlexFDO

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

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)

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• scientific article; zbMATH DE number 6874859 (Why is no real title available?)
• 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

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