Asymptotic analysis for portfolio optimization problem under two-factor Heston's stochastic volatility model

DOI10.7858/EAMJ.2018.001zbMATH Open1394.90569MaRDI QIDQ4582863FDOQ4582863

Authors: Jai Heui Kim, Sotheara Veng 

Publication date: 24 August 2018

Recommendations

• Portfolio optimization and stochastic volatility asymptotics
• Optimal portfolio for the Heston model
• A stochastic volatility model and optimal portfolio selection
• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

zbMATH Keywords

asymptotic analysisportfolio optimizationstochastic volatilityHARA utilitytwo-factor Heston's model

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• Optimal investment strategies for the HARA utility under the constant elasticity of variance model
• Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
• A solution approach to valuation with unhedgeable risks
• Portfolio optimization under the stochastic elasticity of variance
• A fast mean-reverting correction to Heston's stochastic volatility model
• PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
• PRACTICAL INVESTMENT STRATEGIES UNDER A MULTI-SCALE HESTON'S STOCHASTIC VOLATILITY MODEL

Cited In (3)

• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
• Optimal portfolio for the Heston model
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

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