An optimal portfolio model with stochastic volatility and stochastic interest rate

被引：33
|
作者：
Noh, Eun-Jung [1 ]
Kim, Jeong-Hoon [1 ]
机构：
[1] Yonsei Univ, Dept Math, Seoul 120749, South Korea
来源：
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2011年 / 375卷 / 02期
关键词：
Portfolio optimization; Stochastic volatility; Stochastic interest; Hamilton-Jacobi-Bellman equation; Asymptotics;
D O I：
10.1016/j.jmaa.2010.09.055
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider a portfolio optimization problem under stochastic volatility as well as stochastic interest rate on an infinite time horizon. It is assumed that risky asset prices follow geometric Brownian motion and both volatility and interest rate vary according to ergodic Markov diffusion processes and are correlated with risky asset price. We use an asymptotic method to obtain an optimal consumption and investment policy and find some characteristics of the policy depending upon the correlation between the underlying risky asset price and the stochastic interest rate. (C) 2010 Elsevier Inc. All rights reserved.
引用
收藏
页码：510 / 522
页数：13
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