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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한수학회 대한수학회지 대한수학회지 제59권 제6호
- 발행연도
- 2022.11
- 수록면
- 1,153 - 1,170 (18page)
- DOI
- 10.4134/JKMS.j210728
이용수
초록· 키워드
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In this paper, we investigate the portfolio optimization problem under the SVCEV model, which is a hybrid model of constant elasticity of variance (CEV) and stochastic volatility, by taking into account of minimum-entropy robustness. The Hamilton-Jacobi-Bellman (HJB) equation is derived and the first two orders of optimal strategies are obtained by utilizing an asymptotic approximation approach. We also derive the first two orders of practical optimal strategies by knowing that the underlying Ornstein-Uhlenbeck process is not observable. Finally, we conduct numerical experiments and sensitivity analysis on the leading optimal strategy and the first correction term with respect to various values of the model parameters.
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