MEAN VARIANCE PORTFOLIO SELECTION PROBLEM WITH MULTISCALE STOCHASTIC VOLATILITY
DOI:
https://doi.org/10.15665/rp.v20i2.2877Keywords:
Mean-variance portfolio selection; Multiscale Stochastic Volatility; Efficient frontier; stochastic control, Probability.Abstract
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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