Portfolio optimization and a factor model in a stochastic volatility market

DOI10.1080/17442500600900723MaRDI QIDQ3426318zbMATH OpenOpenAlexFDO

Authors Carl Lindberg

Publication date 8 March 2007

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500600900723

zbMATH Keywords

Feynman-Kac formulaportfolio optimizationstochastic controlstochastic volatilityverification theoremnon-Gaussian Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
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Cited in

(17)

• Joint tails impact in stochastic volatility portfolio selection models
• NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
• A multivariate 4/2 stochastic covariance model: properties and applications to portfolio decisions
• International portfolio choice under multi-factor stochastic volatility
• Risk management under a factor stochastic volatility model
• Scenario analysis for derivative portfolios via dynamic factor models
• scientific article; zbMATH DE number 5657872 (Why is no real title available?)
• A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
• HARA frontiers of optimal portfolios in stochastic markets
• Optimal investment under multi-factor stochastic volatility
• The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity
• An optimal consumption problem for general factor models
• A stochastic volatility model and optimal portfolio selection
• Portfolio single index (PSI) multivariate conditional and stochastic volatility models
• IMPACT OF RISK AVERSION ON THE OPTIMAL ROTATION WITH STOCHASTIC PRICE
• Performance measurement for option portfolios in a stochastic volatility framework
• Optimal investment with correlated stochastic volatility factors

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