Optimal strategies for asset allocation and consumption under stochastic volatility

doi:10.1016/j.aml.2016.02.005

科研成果详情

发表状态	已发表Published
题名	Optimal strategies for asset allocation and consumption under stochastic volatility
作者	Zhang, Qiang; Ge, Lei
发表日期	2016
发表期刊	Applied Mathematics Letters
ISSN/eISSN	0893-9659
卷号	58 页码:69-73
摘要	Selecting optimal asset allocation and consumption strategies is an important, but difficult, topic in modern finance. The dynamics is governed by a nonlinear partial differential equation. Stochastic volatility adds further complication. Even to obtain a numerical solution is challenging. Here, we develop a closed-form approximate solution. We show that our theoretical predictions for the optimal asset allocation strategy and the optimal consumption strategy are in surprisingly good agreement with the results from full numerical computations. © 2016 Elsevier Ltd. All rights reserved.
关键词	Consumption Optimal strategies Portfolio selection Stochastic volatility Utility maximization
DOI	10.1016/j.aml.2016.02.005
URL	查看来源
收录类别	SCIE ; SSCI
语种	英语English
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000375523100011
原始文献类型	Article
引用统计	被引频次：9[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/2197
专题	个人在本单位外知识产出
作者单位	Department of Mathematics, City University of Hong Kong, Hong Kong
推荐引用方式 GB/T 7714	Zhang, Qiang,Ge, Lei. Optimal strategies for asset allocation and consumption under stochastic volatility[J]. Applied Mathematics Letters, 2016, 58: 69-73.
APA	Zhang, Qiang, & Ge, Lei. (2016). Optimal strategies for asset allocation and consumption under stochastic volatility. Applied Mathematics Letters, 58, 69-73.
MLA	Zhang, Qiang,et al."Optimal strategies for asset allocation and consumption under stochastic volatility". Applied Mathematics Letters 58(2016): 69-73.