Optimal Portfolios for Financial Markets with Wishart Volatility

DOI10.1239/JAP/1389370097zbMath1283.93306OpenAlexW2033049071MaRDI QIDQ5407025

Zejing Li, Nicole Bäuerle

Publication date: 4 April 2014

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1389370097

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic controlmatrix exponentialWishart processCRRA utilityportfolio problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (18)

Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ Utility Maximization in Multivariate Volterra Models ⋮ Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like ⋮ Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps ⋮ On moment non-explosions for Wishart-based stochastic volatility models ⋮ Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity ⋮ Optimal investment under multi-factor stochastic volatility ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ Optimal portfolios when variances and covariances can jump ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ International portfolio choice under multi-factor stochastic volatility ⋮ A stochastic volatility factor model of heston type. Statistical properties and estimation ⋮ Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models ⋮ Optimal investment in multidimensional Markov-modulated affine models ⋮ Portfolio Optimization in Fractional and Rough Heston Models ⋮ Nash equilibria for relative investors via no-arbitrage arguments ⋮ Neutral and indifference pricing with stochastic correlation and volatility ⋮ Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications

Cites Work

• Unnamed Item
• Unnamed Item
• Discrete time Wishart term structure models
• On strong solutions for positive definite jump diffusions
• General moments of the inverse real Wishart distribution and orthogonal Weingarten functions
• Wishart processes
• Option pricing when correlations are stochastic: an analytical framework
• The Explicit Laplace Transform for the Wishart Process
• A multifactor volatility Heston model
• UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
• ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
• Moments of wishart distribution
• Option Pricing in Multivariate Stochastic Volatility Models of OU Type
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Derivative Pricing With Wishart Multivariate Stochastic Volatility
• Portfolio optimization with unobservable Markov-modulated drift process
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• A solution approach to valuation with unhedgeable risks

This page was built for publication: Optimal Portfolios for Financial Markets with Wishart Volatility