Matches in SemOpenAlex for { <https://semopenalex.org/work/W3136994894> ?p ?o ?g. }
- W3136994894 endingPage "61" @default.
- W3136994894 startingPage "61" @default.
- W3136994894 abstract "This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation (BSDE) approach, closed-form expressions for the statically optimal (time-inconsistent) strategy and the value function are derived. Due to time-inconsistency of mean variance criterion, a dynamic formulation of the problem is presented. We obtain the dynamically optimal (time-consistent) strategy explicitly, which is shown to keep the wealth process strictly below the target (expected terminal wealth) before the terminal time. Finally, we provide numerical studies to show the impact of main model parameters on the efficient frontier and illustrate the differences between the two optimal wealth processes." @default.
- W3136994894 created "2021-03-29" @default.
- W3136994894 creator A5071964274 @default.
- W3136994894 date "2021-03-25" @default.
- W3136994894 modified "2023-10-17" @default.
- W3136994894 title "Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility" @default.
- W3136994894 cites W1192988821 @default.
- W3136994894 cites W1845374133 @default.
- W3136994894 cites W1967453651 @default.
- W3136994894 cites W1978521713 @default.
- W3136994894 cites W2002788332 @default.
- W3136994894 cites W2006776755 @default.
- W3136994894 cites W2013033162 @default.
- W3136994894 cites W2018934424 @default.
- W3136994894 cites W2030371238 @default.
- W3136994894 cites W2041877085 @default.
- W3136994894 cites W2046044763 @default.
- W3136994894 cites W2064978316 @default.
- W3136994894 cites W2094206697 @default.
- W3136994894 cites W2132621139 @default.
- W3136994894 cites W2138349601 @default.
- W3136994894 cites W2141858721 @default.
- W3136994894 cites W2148080284 @default.
- W3136994894 cites W2157883119 @default.
- W3136994894 cites W2169771573 @default.
- W3136994894 cites W2218274622 @default.
- W3136994894 cites W2301659145 @default.
- W3136994894 cites W2309637103 @default.
- W3136994894 cites W2311897540 @default.
- W3136994894 cites W2410780574 @default.
- W3136994894 cites W2591653435 @default.
- W3136994894 cites W2592188887 @default.
- W3136994894 cites W2771925028 @default.
- W3136994894 cites W2785454311 @default.
- W3136994894 cites W2884541524 @default.
- W3136994894 cites W2889577829 @default.
- W3136994894 cites W3010117646 @default.
- W3136994894 cites W3014626340 @default.
- W3136994894 cites W3021444882 @default.
- W3136994894 cites W3032972436 @default.
- W3136994894 cites W3040068595 @default.
- W3136994894 cites W3098958388 @default.
- W3136994894 cites W3111405232 @default.
- W3136994894 cites W3121733529 @default.
- W3136994894 cites W3123594956 @default.
- W3136994894 cites W3124574885 @default.
- W3136994894 cites W3124854273 @default.
- W3136994894 cites W4235725215 @default.
- W3136994894 cites W4251562186 @default.
- W3136994894 cites W890239360 @default.
- W3136994894 doi "https://doi.org/10.3390/risks9040061" @default.
- W3136994894 hasPublicationYear "2021" @default.
- W3136994894 type Work @default.
- W3136994894 sameAs 3136994894 @default.
- W3136994894 citedByCount "7" @default.
- W3136994894 countsByYear W31369948942021 @default.
- W3136994894 countsByYear W31369948942022 @default.
- W3136994894 countsByYear W31369948942023 @default.
- W3136994894 crossrefType "journal-article" @default.
- W3136994894 hasAuthorship W3136994894A5071964274 @default.
- W3136994894 hasBestOaLocation W31369948941 @default.
- W3136994894 hasConcept C106159729 @default.
- W3136994894 hasConcept C121955636 @default.
- W3136994894 hasConcept C126255220 @default.
- W3136994894 hasConcept C127413603 @default.
- W3136994894 hasConcept C14646407 @default.
- W3136994894 hasConcept C149782125 @default.
- W3136994894 hasConcept C162324750 @default.
- W3136994894 hasConcept C196083921 @default.
- W3136994894 hasConcept C204036174 @default.
- W3136994894 hasConcept C2780821815 @default.
- W3136994894 hasConcept C33923547 @default.
- W3136994894 hasConcept C41008148 @default.
- W3136994894 hasConcept C51485801 @default.
- W3136994894 hasConcept C78519656 @default.
- W3136994894 hasConcept C85393063 @default.
- W3136994894 hasConcept C91602232 @default.
- W3136994894 hasConceptScore W3136994894C106159729 @default.
- W3136994894 hasConceptScore W3136994894C121955636 @default.
- W3136994894 hasConceptScore W3136994894C126255220 @default.
- W3136994894 hasConceptScore W3136994894C127413603 @default.
- W3136994894 hasConceptScore W3136994894C14646407 @default.
- W3136994894 hasConceptScore W3136994894C149782125 @default.
- W3136994894 hasConceptScore W3136994894C162324750 @default.
- W3136994894 hasConceptScore W3136994894C196083921 @default.
- W3136994894 hasConceptScore W3136994894C204036174 @default.
- W3136994894 hasConceptScore W3136994894C2780821815 @default.
- W3136994894 hasConceptScore W3136994894C33923547 @default.
- W3136994894 hasConceptScore W3136994894C41008148 @default.
- W3136994894 hasConceptScore W3136994894C51485801 @default.
- W3136994894 hasConceptScore W3136994894C78519656 @default.
- W3136994894 hasConceptScore W3136994894C85393063 @default.
- W3136994894 hasConceptScore W3136994894C91602232 @default.
- W3136994894 hasIssue "4" @default.
- W3136994894 hasLocation W31369948941 @default.
- W3136994894 hasLocation W31369948942 @default.
- W3136994894 hasOpenAccess W3136994894 @default.
- W3136994894 hasPrimaryLocation W31369948941 @default.