For power-utility investors facing stocks driven by two correlated volatility factors, the value function and an O(epsilon)-accurate optimal policy are obtained from a regular perturbation around perfectly correlated factors, with a proven O(epsilon-squared) error bound.
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Optimal Investment with Correlated Stochastic Volatility Factors
For power-utility investors facing stocks driven by two correlated volatility factors, the value function and an O(epsilon)-accurate optimal policy are obtained from a regular perturbation around perfectly correlated factors, with a proven O(epsilon-squared) error bound.