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- Publisher Website: 10.1080/14697688.2017.1397284
- Scopus: eid_2-s2.0-85044057678
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Article: Optimal investment strategies for general utilities under dynamic elasticity of variance models
Title | Optimal investment strategies for general utilities under dynamic elasticity of variance models |
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Authors | |
Keywords | DEV model Monte-Carlo methods Optimal investment Stochastic control |
Issue Date | 2018 |
Citation | Quantitative Finance, 2018, v. 18, n. 8, p. 1379-1388 How to Cite? |
Abstract | This paper studies the optimal investment strategies under the dynamic elasticity of variance (DEV) model which maximize the expected utility of terminal wealth. The DEV model is an extension of the constant elasticity of variance model, in which the volatility term is a power function of stock prices with the power being a nonparametric time function. It is not possible to find the explicit solution to the utility maximization problem under the DEV model. In this paper, a dual-control Monte-Carlo method is developed to compute the optimal investment strategies for a variety of utility functions, including power, non-hyperbolic absolute risk aversion and symmetric asymptotic hyperbolic absolute risk aversion utilities. Numerical examples show that this dual-control Monte-Carlo method is quite efficient. |
Persistent Identifier | http://hdl.handle.net/10722/327706 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 0.705 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Li, Wenyuan | - |
dc.contributor.author | Ma, Jingtang | - |
dc.date.accessioned | 2023-04-24T05:09:23Z | - |
dc.date.available | 2023-04-24T05:09:23Z | - |
dc.date.issued | 2018 | - |
dc.identifier.citation | Quantitative Finance, 2018, v. 18, n. 8, p. 1379-1388 | - |
dc.identifier.issn | 1469-7688 | - |
dc.identifier.uri | http://hdl.handle.net/10722/327706 | - |
dc.description.abstract | This paper studies the optimal investment strategies under the dynamic elasticity of variance (DEV) model which maximize the expected utility of terminal wealth. The DEV model is an extension of the constant elasticity of variance model, in which the volatility term is a power function of stock prices with the power being a nonparametric time function. It is not possible to find the explicit solution to the utility maximization problem under the DEV model. In this paper, a dual-control Monte-Carlo method is developed to compute the optimal investment strategies for a variety of utility functions, including power, non-hyperbolic absolute risk aversion and symmetric asymptotic hyperbolic absolute risk aversion utilities. Numerical examples show that this dual-control Monte-Carlo method is quite efficient. | - |
dc.language | eng | - |
dc.relation.ispartof | Quantitative Finance | - |
dc.subject | DEV model | - |
dc.subject | Monte-Carlo methods | - |
dc.subject | Optimal investment | - |
dc.subject | Stochastic control | - |
dc.title | Optimal investment strategies for general utilities under dynamic elasticity of variance models | - |
dc.type | Article | - |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1080/14697688.2017.1397284 | - |
dc.identifier.scopus | eid_2-s2.0-85044057678 | - |
dc.identifier.volume | 18 | - |
dc.identifier.issue | 8 | - |
dc.identifier.spage | 1379 | - |
dc.identifier.epage | 1388 | - |
dc.identifier.eissn | 1469-7696 | - |
dc.identifier.isi | WOS:000439904200010 | - |