Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility

This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation (BSDE...

Full description

Bibliographic Details
Published in:Risks
Main Author: Yumo Zhang
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Subjects:
mean-variance portfolio selection
3/2 stochastic volatility
backward stochastic differential equation
dynamic optimality
complete market
Online Access:https://www.mdpi.com/2227-9091/9/4/61

Internet

https://www.mdpi.com/2227-9091/9/4/61

Similar Items