Optimal strategies for asset allocation and consumption under stochastic volatility

DOI10.1016/J.AML.2016.02.005zbMATH Open1335.91075OpenAlexW2279438656MaRDI QIDQ274239FDOQ274239

Lei Ge, Qiang Zhang

Publication date: 22 April 2016

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2016.02.005

zbMATH Keywords

portfolio selectionstochastic volatilityutility maximizationconsumptionoptimal strategies

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An optimal consumption model with stochastic volatility
• Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
• Optimal portfolio in partially observed stochastic volatility models.
• Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• An optimal portfolio model with stochastic volatility and stochastic interest rate

Cited In (17)

• Title not available (Why is that?)
• Title not available (Why is that?)
• On discrete probability approximations for transaction cost problems
• On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
• Optimal investment strategy for asset-liability management under the Heston model
• Optimal consumption-portfolio problem with CVaR constraints
• Data driven confidence intervals for diffusion process using double smoothing empirical likelihood
• Title not available (Why is that?)
• Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
• Optimal asset allocation under search frictions and stochastic interest rate
• Dual control Monte-Carlo method for tight bounds of value function under Heston stochastic volatility model
• Optimal investment problem under non-extensive statistical mechanics
• Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
• Strategic asset allocation in a continuous-time VAR model
• Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints
• Sequential $\delta$-Optimal Consumption and Investment for Stochastic Volatility Markets with Unknown Parameters
• Optimal portfolio and consumption decisions in a stochastic environment with precommitment

This page was built for publication: Optimal strategies for asset allocation and consumption under stochastic volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q274239)