<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="7.x">Drupal-Biblio</source-app><ref-type>17</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">JI-HUN YOON</style></author><author><style face="normal" font="default" size="100%">SOTHEARA VENG</style></author></authors></contributors><titles><title><style face="normal" font="default" size="100%">ASYMPTOTIC ANALYSIS FOR PORTFOLIO OPTIMIZATION PROBLEM UNDER AN EXTENDED HESTON’S STOCHASTIC VOLATILITY MODEL</style></title><secondary-title><style face="normal" font="default" size="100%">Dynamic Systems and Applications</style></secondary-title></titles><keywords><keyword><style  face="normal" font="default" size="100%">35Q93</style></keyword><keyword><style  face="normal" font="default" size="100%">90C39</style></keyword><keyword><style  face="normal" font="default" size="100%">90C59</style></keyword><keyword><style  face="normal" font="default" size="100%">91G10</style></keyword></keywords><dates><year><style  face="normal" font="default" size="100%">2018</style></year><pub-dates><date><style  face="normal" font="default" size="100%">04/2018</style></date></pub-dates></dates><urls><web-urls><url><style face="normal" font="default" size="100%">https://acadsol.eu/dsa/articles/27/2/8.pdf</style></url></web-urls></urls><volume><style face="normal" font="default" size="100%">27</style></volume><pages><style face="normal" font="default" size="100%">22</style></pages><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">&lt;p class=&quot;rtejustify&quot;&gt;In this paper, we study the portfolio optimization problem under an extended Heston stochastic volatility model. By using asymptotic analysis technique, we are able to derive approximations of the optimal value function and the optimal strategy. We give an explicit asymptotic approximation of the optimal strategy for the case of hyperbolic absolute risk aversion utility functions and prove that the leading order term of the optimal strategy recovers the approximation up to the first order of the optimal value function.&lt;/p&gt;
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