On the stability of continuous-time portfolio problems with stochastic opportunity set

被引：47

作者：

Korn, R ^{[1
]}

Kraft, H ^{[1
]}

机构：

[1] Univ Kaiserslautern, Dept Math, D-67653 Kaiserslautern, Germany

来源：

MATHEMATICAL FINANCE | 2004年 / 14卷 / 03期

关键词：

optimal portfolios; stochastic interest rate; Cox-Ingersoll-Ross model; stochastic volatility; Heston model; stochastic market price of risk;

D O I：

10.1111/j.0960-1627.2004.00197.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we present some counterexamples to show that an uncritical application of the usual methods of continuous-time portfolio optimization can be misleading in the case of a stochastic opportunity set. Cases covered are problems with stochastic interest rates, stochastic volatility, and stochastic market price of risk. To classify the problems occurring with stochastic market coefficients, we further introduce two notions of stability of portfolio problems.

引用

页码：403 / 414

页数：12

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