Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion

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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...

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Bibliographic Details
Main Authors:	Li, S., Luong, C., Angkola, F., Wu, Yong Hong
Format:	Journal Article
Published:	American Institute of Mathematical Sciences (A I M S Press) 2016
Online Access:	http://hdl.handle.net/20.500.11937/17992

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