The Optimal Portfolio Policy Based on the Stochastic Volatility

@inproceedings{Yong2006TheOP,
  title={The Optimal Portfolio Policy Based on the Stochastic Volatility},
  author={Zhou Yong},
  year={2006}
}
The Merton investment model is extended to the case with stochastic volatility.In the dynamic program corresponding to typical investment problems,the value function is generally rep- resented by the viscosity solution of the stochastic partial differential equation.In this paper,the partial differential equation is transferred to a semi-linear parabolic equation by using the exponential transformation,the existence of the continuous solution of the value function is proven.Furthermore, the… CONTINUE READING

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