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http://dx.doi.org/10.7858/eamj.2017.003

PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL  

Kim, Jai Heui (Department of Mathematics, Pusan National University)
Veng, Sotheara (Department of Mathematics, Pusan National University)
Publication Information
East Asian mathematical journal / v.33, no.1, 2017 , pp. 23-36 More about this Journal
Abstract
We study an optimization problem for HARA utility function under a multi-scale Heston's stochastic volatility model. We investigate a practical strategy that do not depend on the incorporated factor which is unobservable in the market.
Keywords
multi-scale Heston's model; HARA utility function; optimal investment strategy; practical strategy;
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