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PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON’S STOCHASTIC VOLATILITY MODEL
김재희,Sotheara Veng 영남수학회 2017 East Asian mathematical journal Vol.33 No.1
We study an optimization problem for HARA utility function under a multi-scale Heston’s stochastic volatility model. We investigate a practical strategy that do not depend on the incorporated factor which is unobservable in the market.
PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL
Kim, Jai Heui,Veng, Sotheara The Youngnam Mathematical Society 2017 East Asian mathematical journal Vol.33 No.1
We study an optimization problem for HARA utility function under a multi-scale Heston's stochastic volatility model. We investigate a practical strategy that do not depend on the incorporated factor which is unobservable in the market.
Kim, Jai Heui,Veng, Sotheara The Youngnam Mathematical Society 2018 East Asian mathematical journal Vol.34 No.1
We study an optimization problem for hyperbolic absolute risk aversion (HARA) utility function under two-factor Heston's stochastic volatility model. It is not possible to obtain an explicit solution because our financial market model is complicated. However, by using asymptotic analysis technique, we find the explicit forms of the approximations of the optimal value function and the optimal strategy for HARA utility function.