The Stability of Solution of a Multifactor Capital Asset Management Model

This work focuses on the presentation of a multifactor asset management model based on the uncertainty theory, and the stability of the multifactor model solution to the formulated state design of a real-life situation of management of capital assets. The model is designed as an optimization problem based on the assumption of the Hyperbolic Absolute Risk Aversion utility function. The formulated model is expanded from a single factor investment model to a model based on the extension to the multifactor uncertain differential equations. The stability in measure and stability in mean of the formulated model is examined whereby the multifactor model is characterized to be stable.