Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate
Joint Authors
Wu, Yonghong
Zhou, Yanli
Liu, Shican
Ge, Xiangyu
Li, Shuang
Source
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-11-19
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
In order to tackle the problem of how investors in financial markets allocate wealth to stochastic interest rate governed by a nested stochastic differential equations (SDEs), this paper employs the Nash equilibrium theory of the subgame perfect equilibrium strategy and propose an extended Hamilton-Jacobi-Bellman (HJB) equation to analyses the optimal control over the financial system involving stochastic interest rate and state-dependent risk aversion (SDRA) mean-variance utility.
By solving the corresponding nonlinear partial differential equations (PDEs) deduced from the extended HJB equation, the analytical solutions of the optimal investment strategies under time inconsistency are derived.
Finally, the numerical examples provided are used to analyze how stochastic (short-term) interest rates and risk aversion affect the optimal control strategies to illustrate the validity of our results.
American Psychological Association (APA)
Li, Shuang& Liu, Shican& Zhou, Yanli& Wu, Yonghong& Ge, Xiangyu. 2020. Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate. Journal of Function Spaces،Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1185312
Modern Language Association (MLA)
Li, Shuang…[et al.]. Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate. Journal of Function Spaces No. 2020 (2020), pp.1-10.
https://search.emarefa.net/detail/BIM-1185312
American Medical Association (AMA)
Li, Shuang& Liu, Shican& Zhou, Yanli& Wu, Yonghong& Ge, Xiangyu. Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate. Journal of Function Spaces. 2020. Vol. 2020, no. 2020, pp.1-10.
https://search.emarefa.net/detail/BIM-1185312
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1185312