期刊
MATHEMATICAL FINANCE
卷 14, 期 3, 页码 403-414出版社
BLACKWELL PUBLISHERS
DOI: 10.1111/j.0960-1627.2004.00197.x
关键词
optimal portfolios; stochastic interest rate; Cox-Ingersoll-Ross model; stochastic volatility; Heston model; stochastic market price of risk
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.
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