Optimal investment models with stochastic volatility : the time inhomogeneous case
dc.contributor.author | Kufakunesu, Rodwell | |
dc.contributor.email | rodwell.kufakunesu@up.ac.za | en_ZA |
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 |