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 |
| _version_ | 1848749617348345856 |
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| author | Li, S. Luong, C. Angkola, F. Wu, Yong Hong |
| author_facet | Li, S. Luong, C. Angkola, F. Wu, Yong Hong |
| author_sort | Li, S. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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 of non-linear partial differential equations. From the economic point of view, we demonstrate the numerical evaluation of the suggested solution for a special case where the risk aversion rate is proportional to the wealth value. Our results show that the asset driven by the stochastic volatility process is more general and reasonable than the process with a constant volatility. |
| first_indexed | 2025-11-14T07:23:47Z |
| format | Journal Article |
| id | curtin-20.500.11937-17992 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:23:47Z |
| publishDate | 2016 |
| publisher | American Institute of Mathematical Sciences (A I M S Press) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-179922017-09-13T15:43:07Z Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion Li, S. Luong, C. Angkola, F. Wu, Yong Hong 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 of non-linear partial differential equations. From the economic point of view, we demonstrate the numerical evaluation of the suggested solution for a special case where the risk aversion rate is proportional to the wealth value. Our results show that the asset driven by the stochastic volatility process is more general and reasonable than the process with a constant volatility. 2016 Journal Article http://hdl.handle.net/20.500.11937/17992 10.3934/jimo.2016.12.1521 American Institute of Mathematical Sciences (A I M S Press) unknown |
| spellingShingle | Li, S. Luong, C. Angkola, F. Wu, Yong Hong Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
| title | Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
| title_full | Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
| title_fullStr | Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
| title_full_unstemmed | Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
| title_short | Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
| title_sort | optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion |
| url | http://hdl.handle.net/20.500.11937/17992 |