Wei-Jia Liu, Shun-Hou Fan, Hao Chang, "Dynamics Optimal Portfolios with CIR Interest Rate Under a Heston Model," WSEAS Transactions on Systems and Control, vol. 10, pp. 421-429, 2015, DOI:
Wei-Jia Liu, Shun-Hou Fan, Hao Chang. Dynamics Optimal Portfolios with CIR Interest Rate Under a Heston Model.
WSEAS Transactions on Systems and Control. 2015;10:421-429.
WSEAS Transactions on Systems and Control
Print ISSN: 1991-8763, E-ISSN: 2224-2856
Volume 10, 2015
Dynamics Optimal Portfolios with CIR Interest Rate Under a Heston Model
Authors: , ,
Abstract: This paper studies the dynamic portfolios with the Cox-Ingersoll-Ross(CIR) interest rate under a Heston model, which aims at maximizing the expected utility of the terminal wealth. In the model, the manager can invest his weatlh to a zero-coupon bond, a riskless asset and a stock. By applying dynamic programming principle, the explicit solutions of optimal portfolio strategy for constant relative risk aversion(CRRA) utility are achieved successfully. Finally, a numerical example is presented to characterize the dynamic behavior of optimal portfolio strategy.
Pages: 421-429 WSEAS Transactions on Systems and Control, ISSN / E-ISSN: 1991-8763 / 2224-2856, Volume 10, 2015, Art. #45 DOI: *As the DOI is a unique identifier, it is already available in the pdf version.
**The DOI link will be activated in the first midst of January 2026.
×
Citation Tools