| Autor: |
Yumo Zhang |
| Jazyk: |
angličtina |
| Rok vydání: |
2021 |
| Předmět: |
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| Zdroj: |
Mathematics, Vol 9, Iss 18, p 2293 (2021) |
| Druh dokumentu: |
article |
| ISSN: |
2227-7390 |
| DOI: |
10.3390/math9182293 |
| Popis: |
This paper considers an optimal investment problem with mispricing in the family of 4/2 stochastic volatility models under mean–variance criterion. The financial market consists of a risk-free asset, a market index and a pair of mispriced stocks. By applying the linear–quadratic stochastic control theory and solving the corresponding Hamilton–Jacobi–Bellman equation, explicit expressions for the statically optimal (pre-commitment) strategy and the corresponding optimal value function are derived. Moreover, a necessary verification theorem was provided based on an assumption of the model parameters with the investment horizon. Due to the time-inconsistency under mean–variance criterion, we give a dynamic formulation of the problem and obtain the closed-form expression of the dynamically optimal (time-consistent) strategy. This strategy is shown to keep the wealth process strictly below the target (expected terminal wealth) before the terminal time. Results on the special case without mispricing are included. Finally, some numerical examples are given to illustrate the effects of model parameters on the efficient frontier and the difference between static and dynamic optimality. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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