Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
This paper studies the portfolio optimization of mean-variance utility with state-dependent risk aversion, where the stock asset is driven by a stochastic process. The sub-game perfect Nash equilibrium strategies and the extended Hamilton-Jacobi-Bellman equations have been used to derive the system...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
American Institute of Mathematical Sciences (A I M S Press)
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/17992 |