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- W2384325266 abstract "This paper considers an optimal portfolio choice problem under Heston stochastic volatility model and a dynamic Va R constraint. Assume the financial market consists of one risky asset,like stock,whose price satisfies a Heston stochastic volatility model and one risk-free asset,like bond. The investor aims to maximize the expected power utility of the terminal wealth. At the same time,the investor hopes to manage the portfolio risk by a dynamic Va R constraint,which means she will compute the Va R of her portfolio continually. Using the stochastic dynamic programming approach,we solve the problem numerically. Finally,economic implications are proposed to illustrate the impacts of Heston stochastic volatility and dynamic Va R constraint on the investor's optimal strategy. Our numerical experiment shows that the dynamic Va R criterion is an effective tool to manage the risk during the whole investment period." @default.
- W2384325266 created "2016-06-24" @default.
- W2384325266 creator A5005859146 @default.
- W2384325266 date "2015-01-01" @default.
- W2384325266 modified "2023-09-23" @default.
- W2384325266 title "Optimal Inverstment Strategy with Heston Stochastic Volatility and Dynamicvar Constraint" @default.
- W2384325266 hasPublicationYear "2015" @default.
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