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A class of portfolio optimization solvable problems

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  • Cheng, Yuyang
  • Escobar-Anel, Marcos

Abstract

This short paper reveals the largest class of stochastic volatility processes solvable in closed form within expected utility theory for a hyperbolic absolute risk aversion investor. The risky-asset setting considers a framework outside the seminal work of Liu (2007), and highlights applications not yet studied in the literature. The work also demonstrates that analytical solutions for ambiguity-aversion analyses within the framework of Maenhout (2004) are feasible.

Suggested Citation

  • Cheng, Yuyang & Escobar-Anel, Marcos, 2023. "A class of portfolio optimization solvable problems," Finance Research Letters, Elsevier, vol. 52(C).
    • Handle: RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005505
    DOI: 10.1016/j.frl.2022.103373
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    References listed on IDEAS

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