Optimal investment models with stochastic volatility : the time inhomogeneous case

dc.contributor.authorKufakunesu, Rodwell
dc.contributor.emailrodwell.kufakunesu@up.ac.zaen_ZA
dc.date.accessioned2015-06-03T09:20:54Z
dc.date.available2015-06-03T09:20:54Z
dc.date.issued2015
dc.description.abstractIn 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.embargo2016-08-30en_ZA
dc.description.librarianhb2015en_ZA
dc.description.urihttp://www.tandfonline.com/loi/tqma20en_ZA
dc.identifier.citationRodwell Kufakunesu (2015) Optimal investment models with stochastic volatility: the time inhomogeneous case, Quaestiones Mathematicae, 38:2, 237-255, DOI:10.2989/16073606.2014.981701en_ZA
dc.identifier.issn0379-9468 (print)
dc.identifier.issn1727-933X (online)
dc.identifier.other10.2989/16073606.2014.981701
dc.identifier.urihttp://hdl.handle.net/2263/45384
dc.language.isoenen_ZA
dc.publisherTaylor & Francisen_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/tqma20en_ZA
dc.subjectSemilinear partial differential equationen_ZA
dc.subjectStochastic volatilityen_ZA
dc.subjectSmooth solutionen_ZA
dc.subjectHamilton-Jacobi-Bellman equationen_ZA
dc.subjectTime-dependent utility functionen_ZA
dc.subjectUtility optimisationen_ZA
dc.subjectPartial differential equation (PDE)en_ZA
dc.titleOptimal investment models with stochastic volatility : the time inhomogeneous caseen_ZA
dc.typePostprint Articleen_ZA

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