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• W2755720352 abstract "In a recent paper by Mnif [18], a solution to the portfolio optimization with stochastic volatility and constraints problem has been proposed, in which most of the model parameters are time-homogeneous. However, there are cases where time-dependent parameters are needed, such as in the calibration of financial models. Therefore, the purpose of this paper is to generalize the work of Mnif [18] to the time-inhomogeneous case. We consider a time-dependent exponential utility function of which the objective is to maximize the expected utility from the investor’s terminal wealth. The derived Hamilton-Jacobi-Bellman(HJB) equation, is highly nonlinear and is reduced to a semilinear partial differential equation (PDE) by a suitable transformation. The existence of a smooth solution is proved and a verification theorem presented. A multi-asset stochastic volatility model with jumps and endowed with time-dependent parameters is illustrated." @default.
• W2755720352 created "2017-09-25" @default.
• W2755720352 creator A5017900147 @default.
• W2755720352 date "2017-09-15" @default.
• W2755720352 modified "2023-09-26" @default.
• W2755720352 title "On the multi-dimensional portfolio optimization with stochastic volatility" @default.
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• W2755720352 doi "https://doi.org/10.2989/16073606.2017.1369468" @default.
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