Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models
This paper considers an optimal investment problem with mispricing in the family of 4/2 stochastic volatility models under mean–variance criterion. The financial market consists of a risk-free asset, a market index and a pair of mispriced stocks. By applying the linear–quadratic stochastic control t...
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Format: | Article |
Language: | English |
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MDPI AG
2021-09-01
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Series: | Mathematics |
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Online Access: | https://www.mdpi.com/2227-7390/9/18/2293 |