A class of portfolio optimization solvable problems

被引：1
|
作者：
Cheng, Yuyang [1 ]
Escobar-Anel, Marcos [1 ]
机构：
[1] Univ Western Ontario, Dept Stat & Actuarial Sci, London, ON, Canada
来源：
FINANCE RESEARCH LETTERS | 2023年 / 52卷
关键词：
Stochastic volatility; Optimal control; Expected utility theory; Ambiguity aversion; HJB equation; STOCHASTIC VOLATILITY MODEL; SELECTION; CHOICE; CONSUMPTION; RULES;
D O I：
10.1016/j.frl.2022.103373
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This short paper reveals the largest class of stochastic volatility processes solvable in closed form within expected utility theory for a hyperbolic absolute risk aversion investor. The risky-asset setting considers a framework outside the seminal work of Liu (2007), and highlights applications not yet studied in the literature. The work also demonstrates that analytical solutions for ambiguity-aversion analyses within the framework of Maenhout (2004) are feasible.
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页数：10
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