Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model

DOI10.1016/j.cam.2021.113490zbMath1461.91276OpenAlexW3131471642MaRDI QIDQ2020524

Jian-hao Kang, Ming-hui Wang, Nan-Jing Huang

Publication date: 23 April 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2021.113490

zbMATH Keywords

game theoryequilibrium strategybinary utility functionHeston's stochastic volatilitymean-variance-utility portfolio selection

Mathematics Subject Classification ID

Applications of game theory (91A80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

Related Items (1)

Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications

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