Dynamic behaviour of optimal portfolio with stochastic volatility
In the existing literature, little is known about the dynamic behaviour of the optimal portfolio in terms of market inputs and arbitrary stochastic factor dynamics in an incomplete market with a stochastic volatility. In this paper, to study optimal portfolio behaviour, we compute and analyze the me...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2021-01-01
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| Series: | Ekonomska Istraživanja |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/1331677X.2020.1788407 |