Portfolio optimization under the stochastic elasticity of variance

DOI10.1142/S021949371350024XMaRDI QIDQ5170138zbMATH OpenOpenAlexFDO

Authors Sung-Jin Yang, Min-Ku Lee, Jeong-Hoon Kim

Publication date 18 July 2014

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021949371350024x

zbMATH Keywords

dynamic programmingHamilton-Jacobi-Bellman equationmultiscaleportfolio optimizationstochastic elasticity of variance

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Dynamic programming (90C39) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A Simple Proof of the Fredholm Alternative and a Characterization of the Fredholm Operators
• Controlled Markov processes and viscosity solutions
• MEAN-REVERTING STOCHASTIC VOLATILITY
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance
• Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
• Optimal portfolios for DC pension plans under a CEV model
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Stochastic differential equations. An introduction with applications.
• Stochastic optimal control of annuity contracts.
• Stochastic volatility, smile & asymptotics
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

Cited in

(15)

• Elasticity approach to portfolio optimization
• Continuous-time mean-variance portfolio selection under the CEV process
• Optimal portfolio management in a modified constant elasticity of variance model
• Mean-variance portfolio selection under a constant elasticity of variance model
• Portfolio optimization for pension plans under hybrid stochastic and local volatility.
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• Elasticity approach to asset allocation in discrete time
• Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
• Optimal investment strategies for general utilities under dynamic elasticity of variance models
• Asymptotic analysis for portfolio optimization problem under two-factor Heston's stochastic volatility model
• Robust portfolio optimization under hybrid CEV and stochastic volatility
• Pricing turbo warrants under stochastic elasticity of variance
• On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
• Pricing perpetual American options under multiscale stochastic elasticity of variance
• Stochastic elasticity of variance with stochastic interest rates

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