An optimal portfolio model with stochastic volatility and stochastic interest rate

作者：Noh Eun Jung; Kim Jeong Hoon^*

来源：Journal of Mathematical Analysis and Applications, 2011, 375(2): 510-522.

DOI：10.1016/j.jmaa.2010.09.055

• Portfolio optimization
• Stochastic volatility
• Stochastic interest
• Hamilton-Jacobi-Bellman equation
• Asymptotics

We consider a portfolio optimization problem under stochastic volatility as well as stochastic interest rate on an infinite time horizon. It is assumed that risky asset prices follow geometric Brownian motion and both volatility and interest rate vary according to ergodic Markov diffusion processes and are correlated with risky asset price. We use an asymptotic method to obtain an optimal consumption and investment policy and find some characteristics of the policy depending upon the correlation between the underlying risky asset price and the stochastic interest rate.

• 出版日期2011-3-15