Merton's portfolio problem under Volterra Heston model
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香港中文大學研究人員
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摘要This paper investigates Merton’s portfolio problem in a rough stochastic environment described by Volterra Heston model. The model has a non-Markovian and non-semimartingale structure. By considering an auxiliary random process, we solve the portfolio optimization problem with the martingale optimality principle. Optimal strategies for power and exponential utilities are derived in semi-closed form solutions depending on the respective Riccati-Volterra equations. We numerically examine the relationship between investment demand and volatility roughness.
出版社接受日期09.05.2020
著者Bingyan Han, Hoi Ying Wong
期刊名稱Finance Research Letters
出版年份2020
出版社Elsevier
文章號碼101580
國際標準期刊號1544-6123
語言美式英語
關鍵詞Optimal portfolio, Rough volatility, Volterra Heston model, Riccati-Volterra equations

上次更新時間 2020-14-11 於 23:43