Mean Variance Portfolio Selection Problem with Multiscale Stochastic Volatility.


  • Carlos Universidad de Antioquia


Palabras clave:

Mean-variance portfolio selection; Multiscale Stochastic Volatility; Efficient frontier; stochastic control, Probability.


This paper discussed the mean-variance portfolio selection problem with multiscale stochastic volatility. We considered two type of volatility, including a fast –moving one and a slowly-moving one by using the stochastic dynamic programming principle and Hamilton-Jacobi-Bellman equation approach, the optimal investment strategy, the value function and the efficient frontier are derived in closed form.


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