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

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)

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Cites work

• A fast mean-reverting correction to Heston's stochastic volatility model
• A solution approach to valuation with unhedgeable risks
• 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
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• Portfolio optimization and stochastic volatility asymptotics
• Portfolio optimization under the stochastic elasticity of variance
• Practical investment strategies under a multi-scale Heston's stochastic volatility model
• Stochastic differential equations. An introduction with applications.

Cited in

(9)

• Asymptotic optimal strategy for portfolio optimization in a slowly varying stochastic environment
• Homotopy analysis method for portfolio optimization problem under the 3/2 model
• Sub- and supersolution approach to accuracy analysis of portfolio optimization asymptotics in multiscale stochastic factor markets
• A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
• Portfolio optimization and stochastic volatility asymptotics
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
• Optimal portfolio for the Heston model
• Parameter identification for portfolio optimization with a slow stochastic factor
• Practical investment strategies under a multi-scale Heston's stochastic volatility model

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