Optimal investment under stochastic volatility and power type utility function

Benchaabane, 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 -