Multiscale Stochastic Volatility Problem with Wavelet Risk Premium
Abstract
In this paper, the mean variance portfolio with multiscale stochastic volatility using the wavelet risk premium was considered. A seemingly wavelet function which was used to investigate the multiscale stochastic volatility(MSSV) used in stock price model was derived. Two types of volatility, namely; a fast -moving one and a slowly-moving one were considered using the stochastic dynamic programming principle and\\ Hamilton-Jacobi-Bellman equation approach. The optimal investment strategy, the value function was obtained.
Fields of Study & Subjects
Stochastic processes and financial applications
Risk and Portfolio Optimization
Publication details
- Journal / source
- Journal of Theoretical Physics & Mathematics Research
- Volume
- 04
- Issue
- 02
- Pages
- 01–13
- Publication date
- 2 April 2026
- Language
- EN