Homotopy Analysis Method for Portfolio Optimization Problem Under the 3/2 Model

作     者：YANG Shuquan JIA Zhaoli WU Qianqian WU Huojun YANG Shuquan;JIA Zhaoli;WU Qianqian;WU Huojun

作者机构：School of MathematicsHefei University of TechnologyHefei 230009China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2021年第34卷第3期

页      面：1087-1101页

核心收录：

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 07[理学] 070105[理学-运筹学与控制论] 0701[理学-数学] 

基　　金：supported by the Nature Science Research Project of Anhui Province,China under Grant No.1808085MA18 General Program of the National Natural Science Foundation of China under Grant No.72071068 

主　　题：HJB equation homotopy analysis method optimal portfolio strategy power utility stochastic volatility 

摘      要：This paper considers the Merton portfolio optimization problem for an investor that aims at maximizing the expected power utility of the terminal wealth and intermediate *** the homotopy analysis method,an analytical solution for value function as well as optimal strategy under the 3/2 model is derived,*** with the existing explicit solutions for Merton problem under the 3/2 model,the formulas provide certain parameters with less requirement since the homotopy analysis method does not depend on the existence of small parameters in the ***,numerical examples are examined with the approach,and the proposed solution provides more accurate approximation as the number of terms in infinite series increases.