Portfolio optimization and stochastic volatility asymptotics
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Cites work
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- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- PARTIAL HEDGING IN A STOCHASTIC VOLATILITY ENVIRONMENT
- Portfolio choice under space-time monotone performance criteria
Cited in
(73)- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Optimal trading with signals and stochastic price impact
- Portfolio Optimization in Fractional and Rough Heston Models
- BSDE approach to utility maximization with square-root factor processes
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- scientific article; zbMATH DE number 5732610 (Why is no real title available?)
- Parameter identification for portfolio optimization with a slow stochastic factor
- Power Mixture Forward Performance Processes
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
- Exact and explicit analytical solutions for optimal pension management with general utilities
- On the multi-dimensional portfolio optimization with stochastic volatility
- Approximation for portfolio optimization in a financial market with shot-noise jumps
- Portfolio optimization
- G-expected utility maximization with ambiguous equicorrelation
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- Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
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- Optimal hedging under fast-varying stochastic volatility
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- Optimization ofN-risky asset portfolios with stochastic variance and transaction costs
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- Optimal switching between locking down and opening the economy because of an infection
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- scientific article; zbMATH DE number 5159434 (Why is no real title available?)
- Perturbation analysis for investment portfolios under partial information with expert opinions
- Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
- Practical investment strategies under a multi-scale Heston's stochastic volatility model
- Asymptotic analysis for portfolio optimization problem under two-factor Heston's stochastic volatility model
- scientific article; zbMATH DE number 5657872 (Why is no real title available?)
- Stochastic Partial Differential Equations and Portfolio Choice
- An efficient numerical method for the robust optimal investment problem with general utility functions
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- A stochastic volatility model and optimal portfolio selection
- Optimal investment with transaction costs and stochastic volatility. I: Infinite horizon
- scientific article; zbMATH DE number 2110605 (Why is no real title available?)
- An asymptotic expansion approach to the utility valuation of credit risk under the CEV model
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- Portfolio optimization for assets with stochastic yields and stochastic volatility
- Exponentially concave functions and high dimensional stochastic portfolio theory
- Robust investment-reinsurance optimization with multiscale stochastic volatility
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