# Optimal investment under stochastic volatility and power type utility function

Benchaabane, Abbes; Benchettah, Azzedine

Serdica Mathematical Journal (2011)

- Volume: 37, Issue: 3, page 237-250
- ISSN: 1310-6600

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topBenchaabane, Abbes, and Benchettah, Azzedine. "Optimal investment under stochastic volatility and power type utility function." Serdica Mathematical Journal 37.3 (2011): 237-250. <http://eudml.org/doc/281560>.

@article{Benchaabane2011,

abstract = {2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.In this work we will study a problem of optimal investment in financial markets with stochastic volatility with small parameter. We used the averaging method of Bogoliubov for limited development for the optimal strategies when the small parameter of the model tends to zero and the limit for the optimal strategy and demonstrated the convergence of these optimal strategies.},

author = {Benchaabane, Abbes, Benchettah, Azzedine},

journal = {Serdica Mathematical Journal},

keywords = {Hamilton-Jacobi-Bellman Equation; Invariant Measure; Mean-Reverting Process; Optimal Stochastic Control; Stochastic Volatility; Hamilton-Jacobi-Bellman equation; invariant measure; mean-reverting process; optimal stochastic control; stochastic volatility},

language = {eng},

number = {3},

pages = {237-250},

publisher = {Institute of Mathematics and Informatics Bulgarian Academy of Sciences},

title = {Optimal investment under stochastic volatility and power type utility function},

url = {http://eudml.org/doc/281560},

volume = {37},

year = {2011},

}

TY - JOUR

AU - Benchaabane, Abbes

AU - Benchettah, Azzedine

TI - Optimal investment under stochastic volatility and power type utility function

JO - Serdica Mathematical Journal

PY - 2011

PB - Institute of Mathematics and Informatics Bulgarian Academy of Sciences

VL - 37

IS - 3

SP - 237

EP - 250

AB - 2000 Mathematics Subject Classification: 37F21, 70H20, 37L40, 37C40, 91G80, 93E20.In this work we will study a problem of optimal investment in financial markets with stochastic volatility with small parameter. We used the averaging method of Bogoliubov for limited development for the optimal strategies when the small parameter of the model tends to zero and the limit for the optimal strategy and demonstrated the convergence of these optimal strategies.

LA - eng

KW - Hamilton-Jacobi-Bellman Equation; Invariant Measure; Mean-Reverting Process; Optimal Stochastic Control; Stochastic Volatility; Hamilton-Jacobi-Bellman equation; invariant measure; mean-reverting process; optimal stochastic control; stochastic volatility

UR - http://eudml.org/doc/281560

ER -

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