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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
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- 한국산업응용수학회 JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS Journal of the Korean Society for Industrial and Applied Mathematics Vol.19 No.4
- 발행연도
- 2015.12
- 수록면
- 417 - 428 (12page)
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초록· 키워드
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Although, in general, the random fluctuation of interest rates gives a limited impact on portfolio optimization, their stochastic nature may exert a significant influence on the process of selecting the proportions of various assets to be held in a given portfolio when the stochastic volatility of risky assets is considered. The stochastic volatility covers a variety of known models to fit in with diverse economic environments. In this paper, an optimal strategy for portfolio selection as well as the smoothness properties of the relevant value function are studied with the dynamic programming method under a market model of both stochastic volatility and stochastic interest rates.
목차
ABSTRACT
1. INTRODUCTION
2. FORMULATION
3. BOUNDEDNESS AND CONTINUITY OF THE VALUE FUNCTION
4. OPTIMAL PORTFOLIO SELECTION
5. CONCLUSION
REFERENCES
참고문헌 (26)
참고문헌 신청
[학술지(정기간행물)] - R.C. Merton / 1969 / Lifetime portfolio selection under uncertainty: the continuous case / The Review of Economics and Statistics 51 (3) : 247 ~ 257
[학술지(정기간행물)] - R.C. Merton / 1971 / Optimal consumption and portfolio rules in a continuous time model / Journal of Economic Theory 3 : 373 ~ 413
[단행본] - W.H Fleming / 1993 / Controlled Markov Processes and Viscosity Solutions / Springer
[단행본] - R.C. Merton / 2005 / Continuous-Time Finance / Blackwell
[학술지(정기간행물)] - A. Lioui / 2001 / On optimal portfolio choice under stochastic interest rates / Journal of Economic Dynamics and Control 25 (11) : 1841 ~ 1865
[학술지(정기간행물)] - R.C. Merton / 1971 / Optimal consumption and portfolio rules in a continuous time model / Journal of Economic Theory 3 : 373 ~ 413
[단행본] - W.H Fleming / 1993 / Controlled Markov Processes and Viscosity Solutions / Springer
[단행본] - R.C. Merton / 2005 / Continuous-Time Finance / Blackwell
[학술지(정기간행물)] - A. Lioui / 2001 / On optimal portfolio choice under stochastic interest rates / Journal of Economic Dynamics and Control 25 (11) : 1841 ~ 1865
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