Multifactor modelling in asset management

Tolulope Latunde

International Journal of Mathematics in Operational Research, 2020, vol. 17, issue 3, 333-352

Abstract: A multifactor model of capital asset management is formulated from the perspective of investors, under the assumptions of hyperbolic absolute risk aversion, and employing the basic skills of mathematical modelling. The solution to a special case of problems in asset management is sought by formulating a continuous-time utility portfolio model satisfying some uncertainty criteria where investment is continuous, investors do not possess enough power to determine price and investors can borrow money for a given period of time at a particular interest rate. Thereafter, the model is solved analytical and the optimal values of control variables are derived using optimality conditions.

Keywords: multifactor; modelling; optimal control; optimality; uncertainty theory; capital asset management. (search for similar items in EconPapers)
Date: 2020
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