Ӧ�ø���ͳ�� 2013, 29(3) 261-274 DOI:      ISSN: 1001-4268 CN: 31-1256

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�г�����IJ����ʺ͹�Ʊϵͳ������Heston���������ģ�Ϳ̻�.
���ö�̬�滮������Lagrange���ӷ�, �ֱ�õ�������/������������Լ��ʱ,
Ͷ���ߵ�����Ͷ�ʲ��Լ�����ֵ�����Ľ���ʽ, ��ͨ�����۷�������ֵ����,
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Optimal Portfolio Strategies with Mispricing and Stochastic Volatility
Yi Bo, Li Zhongfei, Zeng Yan
School of Mathematics and Computational Science, Sun Yat-sen University; Lingnan (University) College, Sun Yat-sen University; Business School, Sun Yat-sen University
Abstract:

This paper investigates an optimal portfolio
selection problem in a market with mispricing and stochastic
volatility. The investor's objective is to maximize the expected
power utility of the terminal wealth, and the financial market
consists of one risk-free asset, one risky asset representing the
market index, and a pair of stocks whose prices are mispriced.
Meanwhile, the volatilities of the market index and system risk are
described by Heston stochastic volatility model. Without/with
limited short selling constraints, the closed-form expressions of
the optimal strategies and the optimal value functions are derived
by the dynamic programming approach and the Lagrange multiple
method. Moreover, economic implications and numerical examples are
provided to illustrate that how the investment horizon and
mispricing error affect the optimal strategies.

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