Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility
This paper considers a mean-variance portfolio selection problem when the stock price has a 3/2 stochastic volatility in a complete market. Specifically, we assume that the stock price and the volatility are perfectly negative correlated. By applying a backward stochastic differential equation (BSDE...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-03-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/9/4/61 |