Optimal investment in incomplete financial markets with stochastic volatility

2003 ◽  
pp. 119-136 ◽  
Author(s):  
Netzahualcóyotl Castañeda-Leyva ◽  
Daniel Hernández-Hernández
Keyword(s):  
Financial Markets ◽  
Stochastic Volatility ◽  
Optimal Investment ◽  
Incomplete Financial Markets

Optimal investment under multi-factor stochastic volatility

2016 ◽  
Vol 17 (2) ◽  
pp. 241-260 ◽  
Author(s):  
Marcos Escobar ◽  
Sebastian Ferrando ◽  
Alexey Rubtsov
Keyword(s):  
Stochastic Volatility ◽  
Optimal Investment

scholarly journals Optimal Investment and Consumption for Multidimensional Spread Financial Markets with Logarithmic Utility

Stats ◽  
2021 ◽  
Vol 4 (4) ◽  
pp. 1012-1026
Author(s):  
Sahar Albosaily ◽  
Serguei Pergamenchtchikov
Keyword(s):  
Financial Markets ◽  
Numerical Simulations ◽  
Financial Market ◽  
Optimal Investment ◽  
Optimal Consumption ◽  
Dynamical Programming ◽  
Verification Theorem ◽  
Logarithmic Utility ◽  
Hamilton Jacobi Bellman ◽  
Optimal Investment And Consumption

We consider a spread financial market defined by the multidimensional Ornstein–Uhlenbeck (OU) process. We study the optimal consumption/investment problem for logarithmic utility functions using a stochastic dynamical programming method. We show a special verification theorem for this case. We find the solution to the Hamilton–Jacobi–Bellman (HJB) equation in explicit form and as a consequence we construct optimal financial strategies. Moreover, we study the constructed strategies with numerical simulations.

Sign in / Sign up

Export Citation Format

Share Document