Portfolio optimization and a factor model in a stochastic volatility market
DOI10.1080/17442500600900723zbMATH Open1280.91152OpenAlexW3122055519MaRDI QIDQ3426318FDOQ3426318
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
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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)
Cites Work
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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
- Title not available (Why is that?)
- A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
- Optimal investment under multi-factor stochastic volatility
- HARA frontiers of optimal portfolios in stochastic markets
- 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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