Mean–variance portfolio selection based on a generalized BNS stochastic volatility model
From MaRDI portal
Publication:2885567
DOI10.1080/00207160.2011.606904zbMath1237.91204MaRDI QIDQ2885567
Publication date: 23 May 2012
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2011.606904
optimal feedback control; integro-partial differential equation; mean-variance portfolio selection; generalized Black-Scholes model; non-Gaussian Ornstein-Uhlenbeck process
45K05: Integro-partial differential equations
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
60K30: Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
91G10: Portfolio theory
Related Items
A non-conservation stochastic partial differential equation driven by anisotropic fractional Lévy random field, Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes, Convolutional neural network based simulation and analysis for backward stochastic partial differential equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Applied stochastic control of jump diffusions.
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- Mean-variance hedging in continuous time
- Dynamic programming and mean-variance hedging
- On solutions of backward stochastic differential equations with jumps and applications
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- On quadratic hedging in continuous time
- An extension of mean-variance hedging to the discontinuous case
- On the structure of general mean-variance hedging strategies
- The density process of the minimal entropy martingale measure in a stochastic volatility model with jumps
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Mean-Variance Hedging and Numeraire
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Foundations of Modern Probability
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Lévy Processes and Stochastic Calculus
- Stochastic Calculus
- NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
- A COUNTEREXAMPLE CONCERNING THE VARIANCE‐OPTIMAL MARTINGALE MEASURE
- MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
- Convex Programming and Duality in Normed Space