A class of portfolio optimization solvable problems

Yuyang Cheng and Marcos Escobar-Anel
Authors registered in the RePEc Author Service: Marcos Escobar Anel ()

Finance Research Letters, 2023, vol. 52, issue C

Abstract: This short paper reveals the largest class of stochastic volatility processes solvable in closed form within expected utility theory for a hyperbolic absolute risk aversion investor. The risky-asset setting considers a framework outside the seminal work of Liu (2007), and highlights applications not yet studied in the literature. The work also demonstrates that analytical solutions for ambiguity-aversion analyses within the framework of Maenhout (2004) are feasible.

Keywords: Stochastic volatility; Optimal control; Expected utility theory; Ambiguity aversion; HJB equation (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322005505
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005505

DOI: 10.1016/j.frl.2022.103373

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().