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Portfolio Optimization with Stochast...

Varga, Katherine Yvonne.

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Portfolio Optimization with Stochastic Dividends and Stochastic Volatility.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Portfolio Optimization with Stochastic Dividends and Stochastic Volatility./
Author:	Varga, Katherine Yvonne.
Description:	119 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
Contained By:	Dissertation Abstracts International77-10A(E).
Subject:	Mathematics education. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10113008
ISBN:	9781339761282

Portfolio Optimization with Stochastic Dividends and Stochastic Volatility.
Varga, Katherine Yvonne.

Portfolio Optimization with Stochastic Dividends and Stochastic Volatility. - 119 p.

Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.

Thesis (Ph.D.)--North Carolina State University, 2015.

We consider an optimal investment-consumption portfolio optimization model in which an investor receives stochastic dividends. As a first problem, we allow the drift of stock price to be a bounded function. Next, we consider a stochastic volatility model. In each problem, we use the dynamic programming method to derive the Hamilton-Jacobi-Bellman equation, which we proceed to prove existence of a classical solution. Our value function is chosen to maximize the expected total discounted HARA utility of consumption. In the Verification Theorem, we prove that the solution to the HJB equation is equal to the value function.

ISBN: 9781339761282Subjects--Topical Terms:

641129
Mathematics education.

Portfolio Optimization with Stochastic Dividends and Stochastic Volatility.
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100 1 $a Varga, Katherine Yvonne. $3 3190746
245 1 0 $a Portfolio Optimization with Stochastic Dividends and Stochastic Volatility.
300 $a 119 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-10(E), Section: A.
500 $a Adviser: Tao Pang.
502 $a Thesis (Ph.D.)--North Carolina State University, 2015.
520 $a We consider an optimal investment-consumption portfolio optimization model in which an investor receives stochastic dividends. As a first problem, we allow the drift of stock price to be a bounded function. Next, we consider a stochastic volatility model. In each problem, we use the dynamic programming method to derive the Hamilton-Jacobi-Bellman equation, which we proceed to prove existence of a classical solution. Our value function is chosen to maximize the expected total discounted HARA utility of consumption. In the Verification Theorem, we prove that the solution to the HJB equation is equal to the value function.
590 $a School code: 0155.
650 4 $a Mathematics education. $3 641129
650 4 $a Finance. $3 542899
690 $a 0280
690 $a 0508
710 2 $a North Carolina State University. $3 1018772
773 0 $t Dissertation Abstracts International $g 77-10A(E).
790 $a 0155
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10113008