dc.contributor.author |
Kufakunesu, Rodwell
|
|
dc.date.accessioned |
2015-06-03T09:20:54Z |
|
dc.date.available |
2015-06-03T09:20:54Z |
|
dc.date.issued |
2015 |
|
dc.description.abstract |
In a recent paper by Pham [11] a multidimensional model with stochastic
volatility and portfolio constraints has been proposed, solving a class of investment
problems. One feature which is common with these problems is that the resultant
Hamilton-Jacobi-Bellman (HJB) partial differential equation (PDE) is highly nonlinear.
Therefore, a transform is primordial to express the value function in terms of
a semilinear PDE with quadratic growth on the derivative term. Some proofs for the
existence of smooth solution to this equation have been provided for this equation
by Pham [11]. In that paper they illustrated some common stochastic volatility
examples in which most of the parameters are time-homogeneous. However, there
are cases where time-dependent parameters are needed, such as in the calibrating
financial models. Therefore, in this paper we extend the work of Pham [11] to the
time-inhomogeneous case. |
en_ZA |
dc.description.embargo |
2016-08-30 |
en_ZA |
dc.description.librarian |
hb2015 |
en_ZA |
dc.description.uri |
http://www.tandfonline.com/loi/tqma20 |
en_ZA |
dc.identifier.citation |
Rodwell Kufakunesu (2015) Optimal investment models with stochastic volatility: the time inhomogeneous case, Quaestiones Mathematicae, 38:2, 237-255, DOI:10.2989/16073606.2014.981701 |
en_ZA |
dc.identifier.issn |
0379-9468 (print) |
|
dc.identifier.issn |
1727-933X (online) |
|
dc.identifier.other |
10.2989/16073606.2014.981701 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/45384 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Taylor & Francis |
en_ZA |
dc.rights |
© 2015 NISC (Pty) Ltd. This is an electronic version of an article published in Quaestiones Mathematicae, vol. 38, no.2, pp. 237-255, 2015. doi :10.2989/16073606.2014.981701. Quaestiones Mathematicae is available online at : http://www.tandfonline.comloi/tqma20 |
en_ZA |
dc.subject |
Semilinear partial differential equation |
en_ZA |
dc.subject |
Stochastic volatility |
en_ZA |
dc.subject |
Smooth solution |
en_ZA |
dc.subject |
Hamilton-Jacobi-Bellman equation |
en_ZA |
dc.subject |
Time-dependent utility function |
en_ZA |
dc.subject |
Utility optimisation |
en_ZA |
dc.subject |
Partial differential equation (PDE) |
en_ZA |
dc.title |
Optimal investment models with stochastic volatility : the time inhomogeneous case |
en_ZA |
dc.type |
Postprint Article |
en_ZA |