Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2020.1788407
Dynamic behaviour of optimal portfolio with stochastic volatility
Yongmin Zhang
Yingxue Zhao
Sažetak
In the existing literature, little is known about the dynamic behaviour of the optimal portfolio in terms of market inputs and arbitrary stochastic factor dynamics in an incomplete market with a
stochastic volatility. In this paper, to study optimal portfolio behaviour, we compute and analyze the mean and the variance of the
optimal portfolio and of their adjustment speed in terms of market inputs in an incomplete market. The incompleteness arises
from the additional source of uncertainty of the volatility in
Heston’s stochastic volatility model. Conducting sensitivity analysis
for the mean and the variance of the optimal portfolio process as
well as its adjustment speed to the market parameters, we find
several interesting behavioural patterns of investors towards asset
price and its volatility shocks. Our results are robust and convergent by the agreement from two simulation methods for different
time step increments and the number of Monte Carlo simulation paths.
Ključne riječi
Portfolio selection; portfolio distribution; dynamic behaviour; Heston Stochastic volatility model; incomplete market
Hrčak ID:
301168
URI
Datum izdavanja:
31.12.2021.
Posjeta: 826 *