Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
From MaRDI portal
Publication:4409028
Recommendations
- Optimal portfolio for the Heston model
- Portfolio optimization and stochastic volatility asymptotics
- Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
- Portfolio optimization for assets with stochastic yields and stochastic volatility
- An optimal consumption model with stochastic volatility
Cites work
- scientific article; zbMATH DE number 3875591 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
- Exponential Hedging and Entropic Penalties
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
- Optimal portfolios for logarithmic utility.
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
- Processes of normal inverse Gaussian type
- The Variance Gamma Process and Option Pricing
Cited in
(33)- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
- A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
- Optimal strategies for asset allocation and consumption under stochastic volatility
- scientific article; zbMATH DE number 2218946 (Why is no real title available?)
- Optimal portfolio, partial information and Malliavin calculus
- Existence and uniqueness of viscosity solutions of an integro-differential equation arising in option pricing
- Portfolio optimization and a factor model in a stochastic volatility market
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps
- Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models
- Stability of Merton's portfolio optimization problem for Lévy models
- Resolution of degeneracy in Merton's portfolio problem
- The minimal entropy martingale measure for general Barndorff-Nielsen/Shephard models
- Utility maximization in affine stochastic volatility models
- Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type
- Convergence in multiscale financial models with non-Gaussian stochastic volatility
- Utility maximization in models with conditionally independent increments
- Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
- Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
- 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
- Calculations of greeks for jump diffusion processes
- Optimal portfolio for the -hypergeometric stochastic volatility model
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
- scientific article; zbMATH DE number 1795914 (Why is no real title available?)
- Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility market model
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
- A deep learning algorithm for optimal investment strategies under Merton's framework
- Optimal investment and risk control for an insurer with stochastic factor
This page was built for publication: Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4409028)
