2016
DOI: 10.3934/jimo.2016.12.1521
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Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion

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Cited by 8 publications
(3 citation statements)
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“…In the analysis of portfolio optimization, utility function and several system parameters are given to find the optimal values of the control parameters to realise the final utility maximization. Previous researches in this area are classified for the endogenous habit formation [2], the classic constant relative risk aversion (CRRA) by Yu and Yuan [4], the hyperbolic discounting [3], and the utilities like the mean-variance utility proposed by Li et al [5]. In recent paper by Li et al [6], the analytical solution portfolio optimization problem involving stochastic shortterm interest rates is provided, which can be controlled by the mean-variance utility function with state dependent risk aversion (SDRA).…”
Section: Introductionmentioning
confidence: 99%
“…In the analysis of portfolio optimization, utility function and several system parameters are given to find the optimal values of the control parameters to realise the final utility maximization. Previous researches in this area are classified for the endogenous habit formation [2], the classic constant relative risk aversion (CRRA) by Yu and Yuan [4], the hyperbolic discounting [3], and the utilities like the mean-variance utility proposed by Li et al [5]. In recent paper by Li et al [6], the analytical solution portfolio optimization problem involving stochastic shortterm interest rates is provided, which can be controlled by the mean-variance utility function with state dependent risk aversion (SDRA).…”
Section: Introductionmentioning
confidence: 99%
“…In portfolio optimization from a given utility function and system parameters, the optimal values of the control parameters are determined to maximize the final utility. Previous research results in this field can be cataloged by the utilities used such as the mean-variance utility [2], the endogenous habit formation [3], the hyperbolic discounting [4], and the classic constant relative risk aversion (CRRA) [5]. Among those utilities, optimal asset allocation under mean-variance is one of the very interesting and thought-provoking topics in the classic results of financial economics.…”
Section: Introductionmentioning
confidence: 99%
“…However, mean-variance (MV) optimization and expected utility maximization are often viewed as the main competing alternatives in portfolio optimization settings -see for example Johnstone and Lindley (2013); Loistl (2015); Markowitz (2014); Merton (1969), among many others. Somewhat controversially, the MV objective is sometimes viewed as a type of (expected) utility function in its own right (Grinold and Kahn (2000); Johnstone and Lindley (2013); Li et al (2016); Nakamura (2015)), and the approximate relationship between MV optimization and expected utility maximization can be established for a wide variety of reasonable choices of utility functions (Levy and Markowitz (1979); Loistl (2015); Markowitz (2014); Sargent (1987)).…”
Section: Introductionmentioning
confidence: 99%