Mean-variance portfolio selection under Volterra Heston model
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Publication:2045133
Abstract: Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to the non-Markovian and non-semimartingale nature of the model, classic stochastic optimal control frameworks are not directly applicable to the associated optimization problem. By constructing an auxiliary stochastic process, we obtain the optimal investment strategy, which depends on the solution to a Riccati-Volterra equation. The MV efficient frontier is shown to maintain a quadratic curve. Numerical studies show that both roughness and volatility of volatility materially affect the optimal strategy.
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- Signature-based validation of real-world economic scenarios
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Portfolio insurance under rough volatility and Volterra processes
- American options in the Volterra Heston model
- Partial hedging in rough volatility models
- Mean-variance portfolio with wealth and volatility dependent risk aversion
- Time-inconsistency with rough volatility
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Robust control in a rough environment
- Utility Maximization in Multivariate Volterra Models
- Markowitz portfolio selection for multivariate affine and quadratic Volterra models
- Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
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