Model Misspecification in Portfolio Optimization
نویسندگان
چکیده
This paper investigates the situation in Merton (1969) model that volatility is a constant rather than stochastic process, then points out this misspecification since it doesn't match real market. Next, HJB equation with derived through control, thereby calibrate misspecification.
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ژورنال
عنوان ژورنال: Financial engineering and risk management
سال: 2023
ISSN: ['2523-2576']
DOI: https://doi.org/10.23977/ferm.2023.060706