A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions

DOI10.1080/14697688.2022.2160936zbMath1515.91140OpenAlexW4319811925MaRDI QIDQ6158415

Marcos Escobar Anel, Yuyang Cheng

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2160936

zbMATH Keywords

expected utility theorycharacteristic functionverification theorem4/2 stochastic volatility modelstochastic co-volatility movementsstochastic covariance process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Consistent pricing of VIX and equity derivatives with the \(4/2\) stochastic volatility plus jumps model
• Consumption-portfolio optimization with recursive utility in incomplete markets
• Functionals of multidimensional diffusions with applications to finance
• Calibration to FX triangles of the 4/2 model under the benchmark approach
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• Optimal investment under multi-factor stochastic volatility
• International portfolio choice under multi-factor stochastic volatility
• A stochastic volatility factor model of heston type. Statistical properties and estimation
• THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• Robust portfolio choice under the 4/2 stochastic volatility model

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